To God almighty for providing us with our his blessings. Specifically it was the pilgrims who were the first European settlers here in the new world who celebrated the very first Thanksgiving. It was a day of prayer, feasting, fellowship, and gladness. But mostly it was a day in which they gave thanks to God for his goodness and blessings for which they had been blessed.
The native American Indians were friendly. The land they had settled upon was fertile. And most importantly they were free from oppressive Church of England and its strict rules concerning how one was allowed to worship God and interpret the Scriptures. They were free from life directly under the rule of the British crown. They were free to create a life for themselves in this, the new world.
Thanksgiving could literally be reworded "giving thanks". For it was and still is a day for which we have much to give God our thanks for.