It's a U.S. "culture myth." A group of colonists founded Plimoth Plantation in Massachusetts in 1620. A founder, William Bradford, wrote a history. "The landing of the Pilgrims in 1620" is often regarded--particular in New England, where it happened!--as a pivotal event in American history. The colonists were Christians whose beliefs were different from those of the Church of England. They were persecuted for their beliefs. They travelled a long distance to create their own colony. Bradford said that they were "pilgrims." The name stuck. In the U.S. the phrase "Pilgrim Fathers" or "Pilgrims" means the founders of the Plymouth colony. I learned about "the Pilgrims" in elementary school. It wasn't until years later that I learned that "pilgrim" meant anything else. The traditional story of "the first Thanksgiving" describes a real event. It might be 10% true, 90% embellished or distorted. In the traditional MYTHICAL story: the Pilgrims and the local native Americans (the Wampanoags) were friendly, the Wampanoags helped the colony get through the first winter, and that fall they all got together to celebrate the harvest and their friendship, and they had a big feast. Thanksgiving in the U.S. is a day when families get together and celebrate with a big dinner. The dinner includes dishes that remind us of what colonists might have eaten in 1620: turkey, pumpkin pie, cranberries, cider. Before the meal, everyone at the table will, in turn, mention one or things in their lives that they are thankful for. I hope you can see this see this link. This is a famous painting by Norman Rockwell that shows a sort of idealized version of a U.S. "Thanksgiving dinner." That is probably Grandma with the turkey, Grandpa is dressed formally in a suit, and around the table are some of their adult children and grandchildren. https://www.denverlibrary.org/files/Rockwell-freedom%20from%20want.jpg

I forgot to mention the "pilgrim hat!" It is one detail that's historically accurate, as far as I know. In the early 1600s, it was a popular style of hat in England in the early 1600s, and was often worn by the religious group called the "Puritans." The "pilgrims" were Puritans and did wear that style of hat.

Short answer: the first Thansgiving, in 1621, was celebrated by the Pilgrims and the Native Americans. See more here : http://www.history.com/topics/thanksgiving/first-thanksgiving-meal