We show the existence of an infinite set of non-local classically conserved charges on the Green-Schwarz closed superstring in a pp-wave background. We find that these charges agree with the Penrose limit of non-local classically conserved charges recently found for the AdS₅ × S⁵ Green-Schwarz superstring. The charges constructed in this paper could help to understand the role played by these on the full AdS₅ × S⁵ background.