Americans mythologise Thanksgiving.  Many know they are doing so; even more do not.
The Pilgrims didn’t call themselves Pilgrims for starters.  The were overwhelmingly not Puritan and they were not really persecuted at all, just annoyed at the Church of England and its bishops. They did leave England for religious reasons, but left Holland of their own free will. Half of them didn’t survive the first winter and there was little to be thankful for.  There were no turkeys in Massachusetts at the time, no cranberries (inedible without the sugar that was only available a century later). There was no pecan pie or sweet potatoes, and what they survived on was probably racoon and beaver meat, with some  squash and beans.  The “Pilgrims” never celebrated by feasting in any case;  they celebrated by fasting. The myth has chiefly been created by writers and painters.

More importantly, the first permanent English settlement  was at Jamestown, not Plymouth Rock, and the first Thanksgiving was held at Berkeley Plantation, Virginia.  Does it matter?  Probably not, except for Virginians, of whom my own wife is one.  Had the South won the Civil War, the first Thanksgiving, held at Shirley Plantation, Virginia, would rightly be getting the attention.

From an Epicurean point of view we should approve of any American holiday of any sort whatsoever, because the American  worker gets scandalously little time off.  This is all in the aid of “productivity”. Actually, American  workers would be more productive if they had a Thanksgiving holiday once a month. Happy Thanksgiving!