Thanksgiving is the most unique day on the American calendar: it's the only day set aside as a day of thanking G-d, that is celebrated, each in their own manner, by the 3 Abrahamic religions.
The American pilgrims, who originated the Thanksgiving holiday, were deeply religious people. When they were trying to find a way to express their thanks for their survival and for the harvest, they looked to the Bible for an appropriate way of celebrating and based their celebration in part on the 7-day Jewish Biblical Festival of Sukkot (Lev. 23:33-43).
There is almost an unbroken line of presidential Thanksgiving Proclamations, from George Washington on October 3, 1789, to George W. Bush on November 21, 2007, with one thing in common: Thanksgiving Day is a day for thanking G-d.
Portions of many of the past presidential Thanksgiving Proclamations are included in The New York Sun's annual "Thanksgiving" editorial:
Thanksgiving - November 21, 2007 - The New York Sun