Generally the first 'Thanksgiving' is thought of being in 1621 by the Pilgrims at the Plymouth Plantation after their first successful harvest. Squanto, a Patuxet Native America, taught them how to grow corn and catch eel. He also served as an interpreter for them...having learned English while he was a slave in Europe.
And in 1622 the Patuxet Native Americans entered the Virginia Colony and Berkeley Plantation appearing to be bringing food and other goods to trade. John Smith recounts that they were unarmed, but suddenly grabbed any tool or weapon they could and killed about a third of the Colony's population. Only Jamestown was spared because of having warning from the other towns on the James River.
The interesting part of this is that the Pilgrims were very different from the Puritans in beliefs, as the Pilgrims didn't really share in their harvest because they were separatists. Instead they celebrated a thanksgiving if they had a good harvest...and had a season of fasting if they didn't. The Puritan Christians didn't have their first thanksgiving until 1630, and it was not consistent at that juncture either.
The first 'official' proclamation of Thanksgiving observance was June 29, 1671 in Charlestown, Massachusetts. Obviously June is quite a distance of time from November when we celebrate now...as was the end of harvest around the Virginia Colony and Plymouth.
After the United States was its own nation, a Thanksgiving was first proclaimed by President George Washington on October 3, 1789 for a service of thanksgiving to be on November 26th. There were other Thanksgivings proclaimed in our nation by both the national and local governments of the time.
It wasn't until President Abraham Lincoln that a national Thanksgiving Day was proclaimed. He was prompted by an influential writer, Sarah Josepha Hale (who authored "Mary Had a Little Lamb"), who had written a series of editorials campaigning the creation of a national holiday and letters to Lincoln about the holiday as well. He declared that Thanksgiving be celebrated on the final Thursday of November.
But even with this declaration the date of celebration wandered anywhere around that time...though often on the final day of November...the 30th. Many cities and states had their own traditions as to when exactly it was celebrated all the way until 1941. President Franklin Roosevelt observed during the Great Depression that any date was difficult to keep, and with so many people's traditions falling very late in November.
Statistics at the time showed that people also didn't do any Christmas shopping until after Thanksgiving. in 1933 Businesses petitioned President Roosevelt to move the holiday up a week from the final Thursday of the month to the 2nd to the last Thursday.
This was met with a large amount of anger from a great number of citizens who claimed that Roosevelt was only bending because of his ties to those businesses, and also from others that didn't like the idea of their Lincoln established tradition being changed. There was great outrage from many cities and governors in many of them proclaimed that November 30 was Thanksgiving, while still others disagreed with that proclamation as well. But the controversy became so great that on December 26, 1941 the Congress pass legislation unifying the date on which Americans celebrated their Thanksgiving as a nation: the fourth Thursday of November.