The Thanksgiving holiday’s history in North America is rooted in
English traditions dating from the Protestant Reformation. It also
has aspects of a harvest festival, even though the harvest in
New England occurs well before the late-November date on
which the modern Thanksgiving holiday is celebrated.       

    
An annual thanksgiving holiday tradition in North American
colonies is documented for the first time in 1619, in what is
now called the Commonwealth of Virginia.  
(From Wikipedia, the free encyclopedia)
    
   

Jennie Augusta Brownscombe‘s The First Thanksgiving at Plymouth.

The first Macy’s Thanksgiving Day Parade was held on
November 27, 1924, in New York City, and was originally
called the Macy’s Christmas Parade.

Organized by Macy’s employees to celebrate the opening
of their new flagship store, the event featured floats,
professional bands, and live animals borrowed from the
Central Park Zoo, concluding with Santa Claus arriving
at Herald Square.

Santa in his Sleigh at the first Macy’s Christmas Parade.