SubjectsHistory FactsFactsIP FactoidsRecord Breaking Facts The first Thanksgiving was held in May. By IP Factly - Sep 8, 2015 The First Thanksgiving. Artist: Jean Leon Gerome Ferris, PD image. Today, Thanksgiving is held on the fourth Thursday of November. However, the first Thanksgiving was held on May 23, 1541 and not by Pilgrims but by a Spanish nobleman and a group of Native Americans.