The original feast in 1621 occurred sometime between September 21 and November 11. Unlike our modern holiday, it was three days long. The event was based on English harvest festivals, which traditionally occurred around the 29th of September. After that first harvest was completed by the Plymouth colonists, Gov. William Bradford proclaimed a day of thanksgiving and prayer, shared by all the colonists and neighboring Indians. In 1623 a day of fasting and prayer during a period of drought was changed to one of thanksgiving because the rain came during the prayers. Gradually the custom prevailed in New England of annually celebrating thanksgiving after the harvest.
During the American Revolution a yearly day of national thanksgiving was suggested by the Continental Congress. (See below)
In 1817 New York State adopted Thanksgiving Day as an annual custom, and by the middle of the 19th century many other states had done the same. In 1863 President Abraham Lincoln appointed a day of thanksgiving as the last Thursday in November, which he may have correlated it with the November 21, 1621, anchoring of the Mayflower at Cape Cod. Since then, each president has issued a Thanksgiving Day proclamation. President Franklin D. Roosevelt set the date for Thanksgiving to the fourth Thursday of November in 1939 (approved by Congress in 1941).
Why a Thursday? Well if you read the proclamation below, it clearly states that the Thanksgiving should be held on Thursday Nov. 28th, 1782. This was the before Washington's proclamation, and most likely why he chose the day he did.
STATE OF NEW-HAMPSHIRE.
IN COMMITTEE of SAFETY,
EXETER, November 1, 1782.
THAT the following Proclamation for a general THANKSGIVING on the twenty-eighth day of November [instant?], received from the honorable Continental Congress, be forthwith printed, and sent to the several worshipping Assemblies in this State, to whom it is recommended religiously to observe said day, and to abstain from all servile labour thereon.
M. WEARE, President.
By the United States in Congress assembled.
IT being the indispensable duty of all Nations, not only to offer up their supplications to ALMIGHTY GOD, the giver of all good, for his gracious assistance in a time of distress, but also in a solemn and public manner to give him praise for his goodness in general, and especially for great and signal interpositions of his providence in their behalf: Therefore the United States in Congress assembled, taking into their consideration the many instances of divine goodness to these States, in the course of the important conflict in which they have been so long engaged; the present happy and promising state of public affairs; and the events of the war, in the course of the year now drawing to a close; particularly the harmony of the public Councils, which is so necessary to the success of the public cause; the perfect union and good understanding which has hitherto subsisted between them and their Allies, notwithstanding the artful and unwearied attempts of the common enemy to divide them; the success of the arms of the United States, and those of their Allies, and the acknowledgment of their independence by another European power, whose friendship and commerce must be of great and lasting advantage to these States:----- Do hereby recommend to the inhabitants of these States in general, to observe, and request the several States to interpose their authority in appointing and commanding the observation of THURSDAY the twenty-eight day of NOVEMBER next, as a day of solemn THANKSGIVING to GOD for all his mercies: and they do further recommend to all ranks, to testify to their gratitude to GOD for his goodness, by a cheerful obedience of his laws, and by promoting, each in his station, and by his influence, the practice of true and undefiled religion, which is the great foundation of public prosperity and national happiness.
Done in Congress, at Philadelphia, the eleventh day of October, in the year of our LORD one thousand seven hundred and eighty-two, and of our Sovereignty and Independence, the seventh.
JOHN HANSON, President.
Charles Thomson, Secretary.