that the first Thanksgiving celebrated in North America was actually celebrated by the explorer Martin Frobisher in Canada.
It was celebrated in 1578 (a full 34 years before the first Thanksgiving was celebrated in the United States) in what would later become the province of Newfoundland and Labrador. The celebration was to give thanks for surviving the long voyage from England. He was attempting to find the Northwest Passage to India and China.
Thanksgiving and harvest festivals have been celebrated all over the world for millennia. You can find out more information here.