America's First Thankgiving

Well, it was not in Plymouth, MA! 
From NCR:

America’s First Thanksgiving Was in Florida — Seriously. It Was!

COMMENTARY: More than 50 years before the (Calvinist) Puritans landed in Plymouth, Massachusetts, Spanish Catholics gave thanks to God with a Mass and meal in St. Augustine.

See the rest of the NCR article here:
http://www.ncregister.com/daily-news/americas-first-thanksgiving-was-in-florida-seriously.-it-was