Via NY Post:
The first Thanksgiving in the New World was celebrated in 1621, nearly a year after the Pilgrims landed at Plymouth in the Massachusetts Bay Colony.
In 1789, George Washington became the first of many US presidents to formally proclaim a day of “public thanksgiving and prayer”:
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 previous to their becoming a nation; for the signal and manifold mercies and the favorable interpositions of His providence in the course and conclusion of the late war; for the great degree of tranquillity, union, and plenty which we have since enjoyed; for the peaceable and rational manner in which we have been enabled to establish constitutions of government for our safety and happiness, and particularly the national one now lately instituted; for the civil and religious liberty with which we are blessed, and the means we have of acquiring and diffusing useful knowledge; and, in general, for all the great and various favors which He has been pleased to confer upon us.
In 1863, in the midst of the Civil War, Abraham Lincoln likewise called for a day of Thanksgiving in November:I do therefore invite my fellow citizens in every part of the United States, and also those who are at sea and those who are sojourning in foreign lands, to set apart and observe the last Thursday of November next, as a day of Thanksgiving and Praise to our beneficent Father who dwelleth in the Heavens.
And so it was until President Franklin Roosevelt, in 1939, temporarily moved the celebration back to the third Thursday in November to stimulate Depression-era Christmas sales.