The first year the Pilgrims spent in Plymouth Colony was full of hard work, danger and things that made them scared.  An Indian named Squanto taught them how to grow corn, catch fish, and helped them talk to the local tribes.  After the crops were harvested, the Pilgrims were happy because they had enough food to get through the winter.  They wanted to thank Squanto for all his help and praise God for helping them keep going when they wanted to give up.  They invited the Wampanoog Indian tribe to come and join their celebration.  The Pilgrims fed and entertained their guests for three days, and then the Indians returned the kindness by sending out a hunting party and returning with deer. The Thanksgiving tradition continued and spread to all the American settlements.

The first official American Thanksgiving was proclaimed by the Continental Congress in 1777. President George Washington issued  his first Thanksgiving proclamation in 1789:

Now therefore I do recommend and assign Thursday the 26th day of November next to be devoted by the People of these States to the service of that great and glorious Being, who is the beneficent Author of all the good that was, that is, or that will be--That we may then all unite in rendering unto Him our sincere and humble thanks--for His kind care and protection of the People of this Country...for the signal and manifold mercies, and the favorable interpositions of His Providence which we experienced in the tranquility, union, and plenty, which we have since enjoyed...and also that we may then unite in most humbly offering our prayers and supplications to the great Lord and Ruler of Nations and beseech Him to pardon our national and other transgressions...To promote the knowledge and practice of true religion and virtue, and the encrease of science among them and us--and generally to grant unto all Mankind such a degree of temporal prosperity as He alone knows to be best 

All of the Presidents since Abraham Lincoln have issued annual Thanksgiving proclamations.  In 1941, Congress said Thanksgiving should always be celebrated on the last Thursday in November and made it an official and permanent national holiday.  

In 1947, the tradition of pardoning the National Turkey was started by President Harry Truman.  Each year two lucky turkeys - the National Turkey and its alternate - receive a presidential pardon and spend the rest of their lives in either Disneyland or Disney World! 

In both Europe and North America the end of harvest was time for a celebration for hundreds of years before Plymouth Colony was established. Canada traces its Thanksgiving Day to the English explorer Martin Frobisher.  In 1578, he held a service of thanksgiving in his Canadian settlement.  This was the first time Europeans celebrated Thanksgiving in North America.  Canada's Thanksgiving is held on the second Monday in October.