The celebration of Thanksgiving is, in general, a feast to give thanks for the fruits of the previous harvest.
In America specifically, it dates back to the 1600s. There's some argument over when the first Thanksgiving was, but many think it dates back to 1621, when the harvest was celebrated by the Pilgrims - Dutch settlers of the Plymouth Colony in what's now called Massachusetts.
It spread through the new country and was celebrated on different days in different commmunities until, in 1789, George Washington declared the first national Thanksgiving Day.