On October 3, 1789, George Washington issued a proclamation naming Thursday, November 26 as a day of public thanksgiving and prayer, the first such day declared under the constitution that had taken effect in March. Congress had asked for it. A joint resolution introduced in September by Elias Boudinot had been agreed by both houses, and it requested that the president recommend such a day to the people.
The wording was careful about the new government. The proclamation gives thanks for the peace of the United States, for the civil and religious liberty they enjoyed, and for the means of acquiring and diffusing useful knowledge, and it asks the people to acknowledge the providence of Almighty God and to beseech him to pardon their transgressions. Washington wrote it with the language of the resolution in front of him.
Thanksgiving days were not new. Colonial governors and then state governors had been appointing them for a century and a half, usually for one event, the end of a war or a good harvest, and the Continental Congress had appointed several during the Revolution. What was new in 1789 was a national one, requested by a Congress that had been given no power over religion and was careful not to claim any.
The practice did not take. Washington proclaimed another in 1795, John Adams declared two, Madison two during the War of 1812, and then it was dropped, largely because it looked too much like a federal establishment of religion and too much like the holidays of the European churches. Jefferson never called one. He objected on principle.
The revival came from Sarah Josepha Hale, the editor of Godey's Lady's Book, who campaigned for a national Thanksgiving for 17 years and wrote to five presidents about it. Lincoln declared one in April 1862 and then, on October 3, 1863, set the last Thursday in November, which is where the modern holiday comes from. Roosevelt moved it a week earlier in 1939 to lengthen the Christmas shopping season, 32 states refused to follow, and Congress fixed the fourth Thursday in law in December 1941.