We think of the Pilgrims when we think of Thanksgiving, but as an official holiday, this day is much younger than that. This piece from the National Archives gives a short history of the national holiday as well as includes images of the documents in question. I'm posting the history here and you go go the National Archives site to see the documents if you are interested:
On October 3, 1789, President George Washington issued a proclamation naming Thursday, November 26, 1789 as an official holiday of "sincere and humble thanks." The nation then celebrated its first Thanksgiving under its new Constitution. On October 3, 1863, President Lincoln made the traditional Thanksgiving celebration a nationwide holiday to be commemorated each year on the fourth Thursday of November. In the midst of a bloody Civil War, President Lincoln issued a Presidential Proclamation in which he enumerated the blessings of the American people and called upon his countrymen to "set apart and observe the last Thursday of November next, as a day of "Thanksgiving."
In 1939 President Franklin D. Roosevelt moved the holiday to the third Thursday of November to lengthen the Christmas shopping season and boost the economy still recovering from the Depression. This move, which set off a national debate, was reversed in 1941 when Congress passed and President Roosevelt approved a joint house resolution establishing, by law, the fourth Thursday in November as Thanksgiving Day.