According to the U.S. Census Bureau’s website:

“In the fall of 1621, the religious separatist Pilgrims held a three-day feast to celebrate a bountiful harvest, an event many regard as the nation’s first Thanksgiving. It eventually became a national holiday in 1863 when President Abraham Lincoln proclaimed the last Thursday of November as a national day of thanksgiving. Later, President Franklin Roosevelt clarified that Thanksgiving should always be celebrated on the fourth Thursday of the month to encourage earlier holiday shopping, never on the occasional fifth Thursday.”