Well, a bunch of Puritans from England traveled to North America via The Netherlands in 1620 and set up a really lousy colony near modern-day Boston where most of them died of famine and disease almost immediately. The survivors established relatively good relations with a tribe of native Americans who taught them how to cultivate the land and not starve like idiots. They celebrated their first harvest with a feast that became an annual tradition in America as a day to give thanks, usually to God if you believe in that sort of thing. Turkey is the traditional main course. Also typical is watching American football on T.V. and staying up all $*%&@*%^ night to go shopping, as the day after Thanksgiving is the "official" start of the Christmas shopping season and retailers open early to lure shoppers with deep discounts on crap we don't need. It's not a bad deal. Despite the religious overtones, it's widely celebrated in the U.S. and Canada as a secular holiday for feasting and family gatherings.



TL;DR - Pilgrims came to North America, now we celebrate being affluent and not starving with too much food, televised sports, and a retail spending orgy, and also some actual giving of thanks sometimes.