According to James Loewen's Lies My Teacher Told Me, the Pilgrims did not start the Thanksgiving tradition; instead, east coast Indians had celebrated autumnal harvests for hundreds of years. In fact, our modern celebration only dates back to President Lincoln's 1863 proclamation of a national Thanksgiving holiday (during the perilous times of the Civil War), when the Union badly needed a boost of patriotism. The Pilgrims of New England were not even incorporated into the tradition for another 30 years.
There are literally only two brief primary sources that deal with what happened in the Fall of 1621 in Plymouth, Massachusetts. The most familiar might be Edward Winslow's Mourt's Relation (modernized spelling below) in which he stated:
our harvest being gotten in, our governor sent four men on fowling, that so we might after a special manner rejoice together, after we had gathered the fruits of our labors; they four in one day killed as much fowl, as with a little help beside, served the Company almost a week, at which time amongst other Recreations, we exercised our Arms, many of the Indians coming amongst us, and amongst the rest their greatest king Massasoit, with some ninety men, whom for three days we entertained and feasted, and they went out and killed five Deer, which they brought to the Plantation and bestowed on our Governor, and upon the Captain and others. And although it be not always so plentiful, as it was at this time with us, yet by the goodness of God, we are so far from want, that we often wish you partakers of our plenty.
What from the traditional holiday celebration is mentioned and what is left out? Furthermore. the above-mentioned event lacks historical context. For example, why exactly were the Indians so willing to sit down with these "invaders"? Toward answering that question, some historians have argued that our yearly celebrations whitewash the permanent colonization of America that might have been impossible without the devastating (but unintentional) plagues that preceded the Pilgrim arrival. This (understated) onslaught of disease might have been the most important single occurrence in the history of America.