In 1621 the Pilgrims had a good harvest and were thankful that they had made it to the New World and were actually surviving and prospering. So, in order to celebrate all of their gifts and good luck the Pilgrims decided to have a harvest festival and a day of thanks. They celebrated with venison, fowl, fresh vegetables, and maybe some pumpkin desserts.
Also, the day was made up of sports, conversing with friends, and simply resting after a long harvest. The Indians were invited to also share in the festival and many of them did. The original Thanksgiving was not as much of a religious day as it was a festival of thanksgiving. This day of thanks for all of their blessings resulted in the appropriate name for the holiday: Thanksgiving.