This is what I was always taught:
Yonks ago, a bunch of people decided to settle in the "new world" which was Canada and the USA. These pilgrims were all British, and many felt that they would have a better life in thie new world than they would in England as there was a lot of poverty and hardship in England.
So these settlers went across, but massively underestimated what winters were like in Canada and the North East States. Hundreds of them died from cold, and a lack of food and supplies. That was until the local native americans started helping the settlers. They showed them how to grow food, hunt, find herbs, use local medicine, etc. So these native americans in fact saved the fledgling settlements.
The next year, once the harvests had come in before the winter these settlements threw huge banquets in order to show their appreciation and thanks that they had made it in this "new world"
Hence "Thanks Giving" and now I believe it's a long standing tradition where people celebrate what they are thankful for in their lives.