In the US, the history of Thanksgiving goes back to 1621 when some early settlers in New England shared a meal with local Native Americans who had helped them to survive the first difficult period of life in the new country. However, it was only declared an official Thanksgiving Day in 1863.
The first 'thanksgiving' celebration lasted three days and is likely to have included local meat and produce such as corn. It isn't recorded what was actually eaten, but certainly the foods like pumpkin pie which have since become part of the festival are unlikely to have been eaten there.
Because it is held in November after the crops have been gathered, Thanksgiving also has a lot in common with the Harvest Festivals held in many other countries at this time of year (with the Canadian Thanksgiving this is even more so). It is usual to eat seasonal foods, spend time with family and give thanks for the harvest and the community's survival - in the US case, of course the survival part was much harder at that time, so the festival became much more important.