The story that the Pilgrim Puritans held the first Thanksgiving in 1621 is a myth meant to tie American with a solid Anglo-Protestant foundation.
Doubtlessly there were plenty feasts giving thanks by American Indians during the America's prehistory. The first recorded Thanksgiving was held by the Spanish and local Timucuan Indians in Florida in 1565. The thanksgiving mass was followed by a feast of American and Spanish foods such as oysters, clams, garbanzo beans, olive oil, bread, pork and wine.
The Puritans held their Thanksgiving and it was celebrated locally in Massachusetts around harvest time on no set date. However it was not the first Protestant American Thanksgiving as English Virginia was holding a legal holiday of Thanksgiving as a religious service since 1609. President George Washington pushed for a national day of Thanksgiving for November 26 in 1789 with no mention of any historical background. However, each state celebrated their own Thanksgiving on their own date until President Lincoln codified the date on 1863. President Franklin Roosevelt made the final move for Thanksgiving's date to the fourth Thursday in November in 1941. The reason was to extend the Christmas buying season.
Even though the holiday has been commercialized let us remember the original meaning of the various Thanksgiving and give thanks for what we have.