The first Thanksgiving was December 4, 1619, at Berkeley Plantation in Virginia.
Their charter reads as follows:
“Wee ordaine that the day of our ships arrival at the place assigned for plantacon in the land of Virginia shall be yearly and perpetually keept holy as a day of thanksgiving to Almighty god.”
George Washington issued a Thanksgiving Proclamation in 1789:
“Now therefore I do recommend and assign Thursday the 26th day of November next to be devoted by the People of these States to the service of that great and glorious Being, who is the beneficent Author of all the good that was, that is, or that will be—That we may then all unite in rendering unto him our sincere and humble thanks—for his kind care and protection of the People of this Country…for the signal and manifold mercies, and the favorable interpositions of his Providence which we experienced in the tranquility, union, and plenty, which we have since enjoyed…and also that we may then unite in most humbly offering our prayers and supplications to the great Lord and Ruler of Nations and beseech him to pardon our national and other transgressions—to enable us all, whether in public or private stations, to perform our several and relative duties properly and punctually…To promote the knowledge and practice of true religion and virtue, and the increase of science among them and us—and generally to grant unto all Mankind such a degree of temporal prosperity as he alone knows to be best.”
It is traditional for our President to give a Thanksgiving proclamation. President Lincoln later made the last Thursday in November a Federal Holiday, which was reiterated by FDR and Congress in 1941 as the fourth Thursday in November.
Sources: Wikipedia, The White House Web site, Pilgrimhall.org