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In common lore, the first Thanksgiving was held at Plymouth Plantation in what now is the commonwealth of Massachusetts.
Except that was not the first Thanksgiving in America.
The Thanksgiving Timeline compiled by the Library of Congress says the first Thanksgiving in what now is the U.S. took place in May of 1541 at Palo Duro Canyon in the Texas panhandle. Some 1,500 men led by Spanish explorer Francisco Vasquez de Coronado participated in a Thanksgiving celebration after marching north from Mexico City in search of gold.
Following the timeline, we find that the Thanksgiving celebrated by the Pilgrims actually was No. 5 on the list of early Thanksgivings. After Texas, Thanksgiving celebrations or services were held in what now is Florida in 1564, in Maine in 1607 and in Virginia in 1610. The Pilgrim celebration came in 1621.