{\b The First Thanksgiving Proclamation}. {\b General Comment}. Thanksgiving Day originated with the Pilgrim Fathers in 1621, when they celebrated the first harvest of the Plymouth Colony, a year after the colonists from the Mayflower landed near Cape Cod. It was first proclaimed an official holiday in 1863. Since 1941 it has been celebrated on the fourth Thursday in November. Canada celebrates Thanksgiving on the 2nd Monday in October of each year.