Actually, the first Thanksgiving (here in the U.S., since there are variations in Canada and other countries) was attended by over 90 men from the Wampanoag tribe who lived near the colony of Plymouth, of which only 53 members survived from the 110 who had arrived a year earlier. In the spring of 1621, through a series of fortunate events, an Indian named Squanto of the Abnaki tribe met with the remnants of settlers. He (and others) taught the Pilgrims how to survive and indeed, prosper in the newly found wilderness.
So much so, that the harvest in October of 1621 was very successful, preparing them for the oncoming second winter.
The feasting, playing of games and giving of thanks lasted for 3 days. This was probably in mid- to late October.
The annual giving of thanks to God became a semi-regional tradition for many years, but wasn't officially recognized by President Abraham Lincoln in the midst of the Civil War in 1863 and the date (4th Thursday in November) wasn't set until President Franklin D. Roosevelt signed it into law in 1941.
It's lost much of it's earlier reliance on prasing God to the point that the next day, Friday, is probably more important, in that it's "Black Friday" which is the biggest Christmas shopping day of the year. So named since many businesses don't actually go into the "black" until that day... So much for tradition...