They are different things in the US. Thanksgiving is a holiday, but not a festival. A holiday means that it is a certain day in honor of something. For the most important ones we get a day off from work or school. A festival is a public event that you can attend -- usually it is celebrating something and has food and drink and maybe games. My church growing up would have an annual festival to raise money, for example. It was called the fall festival, but there was no holiday associated with it. A festival could take place on a holiday or be for a certain holiday, but it would be an event for that holiday, not the same thing as the holiday.

Festival is usually a celebration that is unofficial so you don't get a day off. Also they are sometimes more than one day long. A holiday is officially marked by the government ( a stat holiday ) these are normally only one day and most people have the day off. Holidays in the Western English speaking world (Christmas, New Years, Easter, Remembrance/Memorial Day. Festivals ex: Chinese new year, various summer fairs/carnivals, Halloween and Valentines for some people hahaha.

It also depends which country you're in - in England we use 'Holiday' to mean 'Vacation'.