According to tradition, the first Thanksgiving was celebrated at Plymouth Plantation in 1621. 
102 settlers had crossed the Atlantic on board the Mayflower and landed off the coast of Cape Cod. They did not call themselves pilgrims, but the word pilgrim–meaning someone who undertakes a long, difficult journey for a spiritual purpose–is the best way, perhaps the only way, to describe these settlers and their mission. They hoped to establish a colony whose laws, practices, and mores derived from the Bible and might be, one day, a shining city on a hill, as later migrant John Winthrop described their errand in the wilderness. 

We wish all the listeners of Developing Classical Thinkers a happy Thanksgiving!