Now for a little debunking: The Pilgrims were a johnny-come-lately bunch.
Spanish Catholics celebrated at least three Masses of Thanksgiving in what is today the USA, long before the Pilgrims.
The first was during Francisco Vasquez de Coronado's expedition, in Palo Duro Canyon, Texas, in 1541. Padre Juan de Padilla said Mass.
The next was during the Menendez de Aviles expedition, in St. Augustine, Florida, in 1565.
And the third was during Juan de Onate's expedition, near present-day El Paso, Texas, in 1598.