late Old English, "one who avows his religion," especially in the face of danger, but does not suffer martyrdom, from Latin confessor, agent noun from confiteri (see confess). Meaning "one who hears confessions" is from mid-14c.; this properly would be Latin confessarius, but Latin confessor was being used in this sense from the 9th century.
Edward the Confessor (c.1003-1066, canonized 1161), last Anglo-Saxon king, was pious enough but does not seem to fit his title; perhaps so called to distinguish him from another Anglo-Saxon saint/king, Edward the Martyr, who does fit his.