Like many times, we are not 100% certain about when, why, how, or even where the 'first Thanksgiving' was celebrated. But we can look at how Thanksgiving is celebrated today, and through the process of deductive reasoning figure out what happened in colonial America.
-In one common telling, the pilgrims who came to Plymouth established a communal system, where all had to pool whatever they hunted or grew on their lands. Because they could not reap the fruits of their labors, no one had any incentive to work, and the system failed — confusion, thievery and famine ensued.
Finally, the governor of the colony, William Bradford, abolished this system and gave each household a parcel of land. With private property to call their own, the Pilgrims were suddenly very industrious and found themselves with more corn than they knew what to do with. So they invited the Indians over to celebrate. (In some other versions, the first Thanksgiving is not a feast but a brief respite from famine. But the moral is always the same: socialism doesn’t work.) The same commune-to-capitalism, famine-to-feast story is told of Jamestown, the first English settlement, in 1607. https://www.nytimes.com/2010/11/21/weekinreview/21zernike.html-
With a great deal of certainty I can say that the early colonies were not a democratic republic, and I can defiantly say that the Pilgrims did not flee their home countries because they were persecuted for there staunch Biblical beliefs, and when they got off the boat they decided to start observing pagan holidays.
So what would cause a group of religious zealots to suddenly celebrate having an abundance of food? The way that I piece the story together there is only one thing that can make a person want to celebrate the fact that they have food, and that reason is coming to a realization that food is not always available.
Contrary to popular thought the point of 'the colonies' was not self funded. So even though the pilgrims were looking to better themselves, the expedition was not funded for free. The saying 'follow the money' also holds true concerning Thanksgiving. Despite what the Pilgrims wanted, the Pilgrims would not have been able to 'get out of Doge' unless they first agreed that they would return an investment to the funders of the expatiation:
-About 70 investors, known as merchant “adventurers,” pooled together capital and funded the passage. They expected, of course, a return on their investment. But the first brutal winter was not good for business, and nearly half the colonists died. https://www.pbs.org/newshour/economy/what-you-didnt-know-about-the-pilgrims-they-had-massive-debt -
The agreement was as followed all trading will be done with the investors and in turn the investors would take care of any needs that should arise. The idea is called 'mercantilism' and the idea looks like this:

mercantilism seems fair, and it would work if only every person involved were a robot. Anything that is living does not work for free...horses require grass, oxen require hay, and farmers need to be payed. Think of the economy like it was a stick that was 3 inches wide. Every time that stick is moved, the stick gets whittled. So for mercantilism to work a general observation is that the colonist would have to send a stick that was 4 inches in diameter, because 1 inch of stick would be lost in shipping. And then the investors would receive a stick that is three inches around so even if the investors only took 1/2 inch of stick (the stick is now 2 1/2 inches wide) The investors promised to take care of the Pilgrims, so the stick would be sent back and the shipping costs would whittle 1 inch of stick. So the pilgrims had to be able to survive on a 1 1/2 stick, but they wanted things to be 'fair' so the flute player received the same size of stick as the lumberjack.
I am trying to think of another way to explain mercantilism and its a lot like socialism. Both systems ask citizens to entrust them with 'sticks' (of course do not pay attention to all the process and handling of the sticks) Just know that your job is to gather sticks and then a fair and unbiased committee will distribute the sticks as needed.

So I can not say for certain, but I can say with confidence that the main thing celebrated at the first thanksgiving is 'I am thankful that GOD has allowed me to not be a socialist/communists'
Happy Thanksgiving