While there was indeed a celebration of gratitude commemorated in St. Augustine, Florida, in 1565, the celebration that became the model for the American Thanksgiving holiday was held in Plymouth Colony in 1621 (
source). Because of the Puritan convictions of the Pilgrims in Plymouth Colony, their Thanksgiving feast was based, not on the Catholic Mass (which would have been repellent to them), but on the fall harvest festival observed by the ancient Israelites in the Old Testament (
Exod. 23:16). Today, this fall harvest festival is celebrated by modern Jews as
Sukkot.
Attempts by some Catholics to purge Thanksgiving of its Protestant roots (
example) might be well-meaning, but may come across to non-Catholics as “grinchy” and anti-American. There is nothing wrong with Catholics celebrating Thanksgiving as an American holiday, given to us by some of the first colonists of this land. A communal festival of gratitude can be common to all Americans, regardless of their ethnic or religious heritage. And, in addition to telling the story of the Pilgrims and the American Indians, Catholics are also free to include mention of Catholic Thanksgivings held by Catholic explorers in the New World about the same time.
