The first formal National proclamation of Thanksgiving was given in the United States by President George Washington who declared Thursday, November 26, 1789 as a day of public thanksgiving and prayer. He proclaimed a second day of Thanksgiving in 1795, following the defeat of the Whiskey Rebellion.
After Washington left office, John Adams, James Madison, and others intermediately declared days of Thanksgiving. Several presidents actually opposed days of national thanksgiving, with Thomas Jefferson openly denouncing such a proclamation. By 1855, 16 states celebrated Thanksgiving (14 on the fourth Thursday of November, and two on the third).
In 1863 Abraham Lincoln established observing specific days of national thanksgiving. In 1939, President Franklin D. Roosevelt changed Thanksgiving from the fourth to the third Thursday in November!
In 1941, to end any confusion, President FDR and Congress established Thanksgiving as a United States federal holiday to be celebrated on the fourth Thursday in November, which is how it stands today. (Read the First Proclamation below.)
The First National Thanksgiving Proclamation
By President George Washington
26 November 1789
Whereas it is the duty of all Nations to acknowledge the providence of Almighty God, to obey his will, to be grateful for his benefits, and humbly to implore his protection and favor, and whereas both Houses of Congress have by their joint Committee requested me “to recommend to the People of the United States a day of public thanksgiving and prayer to be observed by acknowledging with grateful hearts the many signal favors of Almighty God especially by affording them an opportunity peaceably to establish a form of government for their safety and happiness. 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. And also that we may then unite in most humbly offering our prayers and supplications to the great Lord and Ruler of Nations and beseech him to pardon our national and other transgressions, to enable us all, whether in public or private stations, to perform our several and relative duties properly and punctually, to render our national government a blessing to all the people, by constantly being a Government of wise, just, and constitutional laws, discreetly and faithfully executed and obeyed, to protect and guide all Sovereigns and Nations (especially such as have shown kindness unto us) and to bless them with good government, peace, and concord. To promote the knowledge and practice of true religion and virtue, and the encrease of science among them and Us, and generally to grant unto all Mankind such a degree of temporal prosperity as he alone knows to be best. Given under my hand at the City of New York the third day of October in the year of our Lord 1789.
-President George Washington
Source: Wikipedia and various sites on the internet.