The earliest record of a thanksgiving in America is 1541 by Spanish explorer Coronado at Palo Duro Canyon in what is now Texas. French Protestant colonists at Charlesfort (now Parris Island, South Carolina) held a thanksgiving service in 1564. In 1607, the Jamestown settlers held thanksgiving at Cape Henry, Virginia, and there are many other records of such hallowed observances.
The first call for an annual Thanksgiving was at Berkeley Plantation, Virginia, in 1619, when Captain John Woodlief and 38 settlers aboard the ship Margaret, proclaimed, "Wee ordaine that the day of our ships arrivall at the place assigned for plantacion in the land of Virginia shall be yearly and perpetually keept holy as a day of thanksgiving to Almighty God."
Here is a wonderful Thanksgiving Day history lesson.