Thanksgiving is but one harvest festival among many.
Also, the first recorded thanksgiving in North America was celebrated on May 23rd in 1541 by Vásquez de Coronado and the tribe of the Tejas somewhere around where now Texas is. Another one was on September 8th 1565 in St. Augustine, Florida, Pedro Menéndez de Avilés and his henchmen where celebrating their landing. Don Juan de Onate celebrated one on April 30th 1598 around El Paso, together with the Manso Indians.
The first anglophone thanksgiving happened 1578 on Newfoundland, celebrated by Martin Frobisher who thought he found the north west passage between Europe and Asia.
In 1620 a group of pilgrims lost orientation and stranded at Plymouth Rock, Massachusetts. They wouldn't have survived the winter without the help of the Wampanoag Indians whom they where thanking the following autumn with a three day thanksgiving festival.
However, besides those, there is another *story*, which tells that in 1623 a drought hit some pilgrims and the harvest was about to be destroyed, so they decided to have a day to "seek the lord through humble and heartfelt prayer and He decided to give them answer", to thank god they set a holiday for thanksgiving, which US-Americans and Canadians obviously base their Thanksgiving Day on.