In the English tradition, days of thanksgiving and special thanksgiving religious services became important during the English Reformation in the reign of Henry VIII and in reaction to the large number of religious holidays on the Catholic calendar. Before 1536 there were 95 Church holidays, plus 52 Sundays, when people were required to attend church and forego work and sometimes pay for expensive celebrations. The 1536 reforms reduced the number of Church holidays to 27, but some Puritans wished to completely eliminate all Church holidays, including Christmas and Easter. The holidays were to be replaced by specially called Days of Fasting or Days of Thanksgiving, in response to events that the Puritans viewed as acts of special providence. Unexpected disasters or threats of judgement from on high called for Days of Fasting. Special blessings, viewed as coming from God, called for Days of Thanksgiving. For example, Days of Fasting were called on account of drought in 1611, floods in 1613, and plagues in 1604 and 1622. Days of Thanksgiving were called following the victory over the Spanish Armada in 1588 and following the deliverance of Queen Anne in 1705. An unusual annual Day of Thanksgiving began in 1606 following the failure of the Gunpowder Plot in 1605 and developed into Guy Fawkes Day on November 5.

According to historian Jeremy Bangs, director of the Leiden American Pilgrim Museum, the Pilgrims may have been influenced by watching the annual services of Thanksgiving for the relief of the siege of Leiden in 1574, while they were staying in Leiden. Now called Oktober Feest, Leiden's autumn thanksgiving celebration in 1617 was the occasion for sectarian disturbance that appears to have accelerated the pilgrims' plans to emigrate to America. Later in Massachusetts, religious thanksgiving services were declared by civil leaders such as Governor Bradford, who planned the colony's thanksgiving celebration and fast in 1623. The practice of holding an annual harvest festival did not become a regular affair in New England until the late 1660s.

According to some historians, the first celebration of Thanksgiving in North America occurred during the 1578 voyage of Martin Frobisher from England in search of the Northwest Passage. Other researchers, however, state that "there is no compelling narrative of the origins of the Canadian Thanksgiving day."

The origins of Canadian Thanksgiving are also sometimes traced to the French settlers who came to New France in the 17th century, who celebrated their successful harvests. The French settlers in the area typically had feasts at the end of the harvest season and continued throughout the winter season, even sharing food with the indigenous peoples of the area.

Many of the Pilgrims who migrated to the Plymouth Plantation resided in the city of Leiden from 1609–1620, and had recorded their births, marriages, and deaths at the Pieterskerk (St. Peter's church). In commemoration, a non-denominational Thanksgiving Day service is held each year on the morning of the American Thanksgiving Day in the Pieterskerk, a Gothic church in Leiden, noting the hospitality the Pilgrims received in Leiden on their way to the New World.

The modern Thanksgiving holiday tradition is traced to a well-recorded 1619 event in Virginia and a sparsely documented 1621 celebration at Plymouth in present-day Massachusetts.

The 1619 arrival of 38 English settlers at Berkeley Hundred in Charles City County, Virginia, concluded with a religious celebration as dictated by the group's charter from the London Company, which specifically required "that the day of our ships arrival at the place assigned ... in the land of Virginia shall be yearly and perpetually kept holy as a day of thanksgiving to Almighty God." The 1621 Plymouth feast and thanksgiving was prompted by a good harvest, which the Pilgrims celebrated with Native Americans, who helped them get through the previous winter by giving them food in that time of scarcity.

Pilgrims and Puritans who emigrated from England in the 1620s and 1630s carried the tradition of Days of Fasting and Days of Thanksgiving with them to New England.

Several days of Thanksgiving were held in early New England history that have been identified as the "First Thanksgiving", including Pilgrim holidays in Plymouth in 1621 and 1623, and a Puritan holiday in Boston in 1631.

As President of the United States, George Washington proclaimed the first nationwide thanksgiving celebration in America marking November 26, 1789, "as a day of public thanksgiving and prayer, to be observed by acknowledging with grateful hearts the many and signal favors of Almighty God".

The earlier Thanksgiving celebrations in Canada has been attributed to the earlier onset of winter in the North, thus ending the harvest season earlier. Thanksgiving in Canada did not have a fixed date until the late 19th century.

In the West African country of Liberia, Thanksgiving is celebrated on the first Thursday of November. The Thanksgiving tradition there is rooted in the nation's founding as a colony of the American Colonization Society in 1821 by free people of color from the United States. Although recognized throughout the country, Thanksgiving is practiced chiefly by Americo-Liberians, descendants of Liberia's original African-American settlers.

The first official Canadian Thanksgiving occurred on April 15, 1872, when the nation was celebrating the Prince of Wales' recovery from a serious illness.

The United States has observed German-American Day annually on October 6, within the vicinity of Erntedankfest, from 1883 until the early 1910s, then again from 1983 to the present day.

On October 31, 1939, President Franklin D. Roosevelt signed a presidential proclamation changing the holiday to the next to last Thursday in November, for business reasons.

On December 26, 1941, President Franklin D. Roosevelt signed a joint resolution of Congress changing the national Thanksgiving Day to the fourth Thursday in November.

Labor Thanksgiving Day (勤労感謝の日, Kinrō Kansha no Hi) is a national holiday in Japan. It takes place annually on November 23. The law establishing the holiday, which was adopted during the American occupation after World War II, cites it as an occasion for commemorating labor and production and giving one another thanks. It has roots in the ancient Shinto harvest ceremony (Niiname-sai (新嘗祭)).

In Brazil, National Thanksgiving Day was instituted by President Gaspar Dutra, through Law 781 of August 17, 1949, at the suggestion of Ambassador Joaquim Nabuco, who was enthusiastic about the commemorations he saw in 1909 in St. Patrick's Cathedral as an ambassador in Washington.

However, when World War I ended, the Armistice Day holiday was usually held during the same week (of Thanksgiving then). To prevent the two holidays from clashing with one another, in 1957 the Canadian Parliament proclaimed Thanksgiving to be observed on its present date on the second Monday of October.

The day for Thanksgiving services specifically codified in the founding charter of Berkeley Hundred in 1619 was instrumental in President John F. Kennedy's attempt to strike a compromise between the regional claims, by issuing Proclamation 3560 on November 5, 1963, stating, "Over three centuries ago, our forefathers in Virginia and in Massachusetts, far from home in a lonely wilderness, set aside a time of thanksgiving. On the appointed day, they gave reverent thanks for their safety, for the health of their children, for the fertility of their fields, for the love which bound them together, and for the faith which united them with their God."

In 1966, Law 5110 established that the Thanksgiving celebration would take place on the fourth Thursday of November.

Since 1971, when the American Uniform Monday Holiday Act took effect, the American observance of Columbus Day has coincided with the Canadian observance of Thanksgiving.

In the West Indian island of Grenada, in the Caribbean, there is a national holiday known as Thanksgiving Day which is celebrated on October 25. Even though it bears the same name, and is celebrated at roughly the same time as the American and Canadian versions of Thanksgiving, this holiday is unrelated to either of those celebrations. Instead the holiday marks the anniversary of the U.S.-led invasion of the island in 1983, in response to the deposition and execution of the socialist Grenadian Prime Minister Maurice Bishop by a military government from within his own party.

By the end of the 19th century, Thanksgiving Day was normally celebrated on November 6.