The First Thanksgiving was held in Florida, Texas, Massachusetts, or Nunavut depending on who you believe and what Thanksgiving means.
In 1565 Spanish settlers arrived to found St. Augustine. They celebrated a Mass of Thanksgiving as soon as they got on shore. A meal was shared with members of a local tribe.
In 1579 a fleet of fifteen English ships searching for the Northwest Passage were scattered by ice and storms but miraculously were able to regroup. After a sermon on thanksgiving they celebrated Holy Communion. This was the first Canadian Thanksgiving.
In 1598 the Spanish (again) were in route from what is now Mexico to what is now New Mexico. They stopped just north of the Rio Grande near present day San Elzario, Texas, thankful for finding water after four days without in the desert.
You may have heard of this next one. English Separatists landed on Plymouth Rock (maybe) in November 1620. Their target landing spot was in Virginia, but storms interfered with navigation. In 1621 after the deaths of almost half of those aboard the Mayflower and farming instructions from the local natives, they had an abundant harvest.
I’ve been to all these sites, except Nunavut. Lived in the southern part of Plymouth for five years. The rock was not the biggest tourist site; that was Plimouth Plantation, a living history museum with a replica early Plymouth. They also have a replica Mayflower and Wampanoag village.