The First Thanksgiving

"They began now to gather in the small harvest they had, and to fit up their houses and dwellings against winter, being all well recovered in health and strength and had all things in good plenty. For as some were thus employed in affairs abroad, others were exercised in fishing, about cod and bass and other fish, of which they took good store, of which every family had their portion. All the summer there was no want; and now began to come in store of fowl, as winter approached, which this place did abound when they first came first (but afterward decreased by degrees). And besides waterfowl there was great store of wild turkeys, of which they took many, besides venison, etc. Besides they had about a peck a a meal a week to a person, or now since harvest, Indian corn to that proportion. Which made many afterwards write so largely of their plenty here to their friends in England, which were not feigned but true reports."

The First Thanksgiving

"Of Plymouth Plantation" - William Bradford

It's reported that the first Thanksgiving day was actually celebrated on July 30, 1623. The pilgrims never had a regular fall Thanksgiving day. But a law, enacted on November 15, 1636, allowed the governor and Assistants "to command solemn days of humiliation by fasting, etc., and also for Thanksgiving as occasion shall be offered."

So the pilgrims didn't have just one Thanksgiving Day each year, but at least several.