It kinda depends on whom you ask
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Thanksgiving (first held in 1621) has traditionally been understood as a religious/quasi-religious celebration held by the Pilgrims (i.e. Separatist malcontents of the C of E) thanking God for giving them a great harvest and thereby saving them the trouble of starving to death.
More recently historians have played down the religious part and shifted the focus to a simple secular "harvest celebration" (as held on England at the time), in which the Indians/Native Americans/Indigenous Peoples were thanked for their help with cultivating the crops, since the guy who sold them the cruise assured them that there were "tons of great restaurants over there".
The truth is somewhere in between. The first Thanksgiving was almost certainly a secular celebration since the Pilgrims never did anything to disgrace God like eat a lot of food or enjoy a romantic evening beating off to Gen Padova in American Bukkake 19.
Thanksgiving was not declared a religious celebration until about 50 years after the first one. The Indians were no longer invited because the Pilgrims finally realized that a bunch of guys running around in loin clothes with feather plumes in their hair was, in the words of one settler, "totally gay."
I live in New York and 'round these parts most people call it "Turkey Day". In adverts you see the more historically correct "Harvest Feast." Calling it "Thanksgiving" is rather declasse, IMHO.