Despite the common belief, the Pilgrims have almost nothing to do with the beginning of Thanksgiving and in fact, were not associated with the holiday for well over 200 years after the so called "First Thanksgiving".
For the most part, Thanksgiving came from a pagan harvest celebration called Harvest Home, which originated in England. This was combined with the religious act of "days of thanksgivings" that were practiced in the Church of England. Both the Pilgrims and the Puritans. The Religious practice set aside a religious day of worship to "give thanks to God".
But the big difference between the harvest celebration and the religious one is that the harvest thanksgiving was an annual celebration during the harvest season (autumn) and a religious thanksgiving was set aside any time of year, in according to divine intervention. But as time passed, these two events, merged into a combined annual autumn celebration that combined religious worship services, large family gatherings, dances and a large meal.
So, we give thanks to Mother Nature, providing us with the harvest, our home and our loved ones.