I was always taught in public school thanksgiving originated with the Pilgrims giving thanks with the Indians for the abundance and provision Yah gave them. And I followed suite teaching my girls the same thing. As I began searching for more info on this American Holiday I found out some interesting facts...that yes indeed there was a letter/s from one or more of the pi grams with a sentence in it stating that they would give 'Thanks' to Yah for his blessings...the kicker in this is I also found a list of proclamations from several Presidents to set a side a day to give thanks and prayers to Yah. So all these historical people were doing what the Bible tells us to do daily 'Give Thanks To Yahweh" I won't give the reference, because there are several reference not only in the OT but also in the NT to this command.

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History of 'Day of Thanksgiving & Prayer'
by different Presidents...Looks like Grant was the one who recommended there be a specific day for this rather than random days (however this is just my opinion after a short search)...once at the page scroll down 2/3 of the page to find the links to each proclamation... And here is the letter of a pilgrim about there day of Thanksgiving' There are a lot more sites you can search this out with, just google it, one can spend days with the list google supplies...
Here's praying you and yours will have a blessed Thanksgiving!