Hi Thierry, 

Both words are often used interchangeably to show an appreciation when something trying turned out well, as such, no eyebrows will be raised with the use of either.

Having said so,

"Grateful" will be more appropriate if someone has done us a favour and we show appreciation to that person. Example: I am grateful for your encouragement!

"Thankful" will be more appropriate when something adverse turned out positively, and we feel relieved. We can be thankful about a positive situation. Example: I am so thankful for the respite from the heat!

Hope this helps.

We are normally thankful for SOMETHING, and grateful to SOMEBODY. Have a look at the example sentences in both of these dictionary entries, and it should become clear to you. When you want to know the difference between words, don't worry too much about that meaning, but more about how the words are used. :)

https://www.macmillandictionary.com/dictionary/british/thankful

https://www.macmillandictionary.com/dictionary/british/grateful