It is pretty much a United States festival (the Canadians have something similar). It has three aspects.
1) It commemorates an event that is about 20% history and 80% legend. It took place in the early days of one of the first British colonies in America, Plimoth Plantation. The colonists landed in 1620, were badly prepared, almost died out in the winter, were helped by the Wampanoag "Indians," and shared some kind of harvest festival in either 1621 or 1623.
2) It is a very cherished holiday, second only to Christmas, and usually involves a reunion of members of an extended family. There is a big meal with a traditional menu that vaguely resembles foods that we imagine the colonists and Indians might have eaten. The one we had yesterday included a 10 kg. roast turkey, sweet potato casserole sweetened with maple syrup and topped with walnuts and marshmallows, cranberry sauce, cornbread, apple pie, pumpkin pie, and (sweet, not alcoholic) apple cider (cloudy apple juice).
3) It involves a ritual of giving thanks to God for... anything we are thankful for, but usually food and family. How religious it is depends on how religious the family is. We went around the table and had each person say something that they were thankful for.
There is a heavy irony about the celebration, because--according to the way the story is told--it commemorates friendship and cooperation between the British colonists and native Americans. To an extent that was true in that time and that place. Unfortunately the story of our westward expansion in the 1800s is a sad and shameful story of broken treaties and bad treatment of native Americans. The "cowboys-and-Indians" mythos comes from Buffalo Bill's Wild West show, which both gave jobs to and helped preserve Native American culture, while also creating stereotypes and staging enactments of Indians attacking a pioneer village and being driven off by the U.S. army cavalry.