The first Thanksgiving was a feast of thanksgiving to God for the harvest of food with which they were blessed.
Psalm 100
A psalm of thanksgiving.
1 Shout with joy to the Lord, all the earth!
2 Worship the Lord with gladness.
Come before him, singing with joy.
3 Acknowledge that the Lord is God!
He made us, and we are his.
We are his people, the sheep of his pasture.
4 Enter his gates with thanksgiving;
go into his courts with praise.
Give thanks to him and praise his name.
5 For the Lord is good.
His unfailing love continues forever,
and his faithfulness continues to each generation.
(Biblegateway.com)