President George Washington issued a proclamation on October 3, 1789, designating Thursday, November 26 as a national day of thanks. It was specifically related to the ratification of the U.S. Constitution and had nothing to do with Pilgrims coming on the Mayflower.
That we may then all unite in rendering unto him our sincere and humble thanks…for the great degree of tranquility, union, and plenty, which we have since enjoyed….
Now therefore I do recommend and assign Thursday the 26th day of November next to be devoted by the People of these States to the service of that great and glorious Being, who is the beneficent Author of all the good that was, that is, or that will be– That we may then all unite in rendering unto him our sincere and humble thanks–for his kind care and protection of the People of this Country previous to their becoming a Nation–for the signal and manifold mercies, and the favorable interpositions of his Providence which we experienced in the course and conclusion of the late war–for the great degree of tranquility, union, and plenty, which we have since enjoyed–for the peaceable and rational manner, in which we have been enabled to establish constitutions of government for our safety and happiness, and particularly the national One now lately instituted–for the civil and religious liberty with which we are blessed; and the means we have of acquiring and diffusing useful knowledge; and in general for all the great and various favors which he hath been pleased to confer upon us.
Source and complete text of Proclamation: George Washington’s Mount Vernon