"According to historical sources, the Pilgrims never held an autumnal Thanksgiving feast. The Pilgrims did have a feast in 1621 near Plymouth, Massachusetts, after their first harvest. This is the feast people often refer to as "The First Thanksgiving." This feast was never repeated, so it can't be called the start of a tradition, nor did the colonists or Pilgrims call it a Thanksgiving Feast. In fact, to these devoutly religious people, a day of thanksgiving was a day of prayer and fasting.
Nevertheless, the 1621 feast has become a model for the Thanksgiving celebration in the United States. More than likely, this first harvest feast was eaten outside, based on the fact that the colonists didn't have a building large enough to accommodate all the people who came. Native Americans definitely were among the invited guests, and it's possible, even probable, that turkey (roasted but not stuffed) and pumpkin in some form found their way to the table. The feast is described in a firsthand account presumably written by a leader of the colony, Edward Winslow, as it appears in Mourt's Relation:
"Our harvest being gotten in, our governor sent four men on fowling, that so we might after a special manner rejoice together after we had gathered the fruit of our labors. They four in one day killed as much fowl as, with a little help beside, served the company almost a week. At which time, amongst other recreations, we exercised our arms, many of the Indians coming amongst us, and among the rest their greatest King Massasoit, with some ninety men, whom for three days we entertained and feasted, and they went out and killed five deer, which they brought to the plantation and bestowed on our governor, and upon the captain and others. And although it be not always so plentiful as it was this time with us, yet by the goodness of God, we are so far from want that we often wish you partakers of our plenty."From this we know that the feast went on for three days, included 90 "Indians," as Native Americans were called then, and had plentiful food. In addition to the venison provided by the Native Americans, there was enough wild fowl to supply the village for a week. The fowl included ducks, geese, turkeys and even swans."