A good way to begin developing a thesis is to try to remember the parts of the story that made an impression on you and then think about why that was the case. In a broad way, the title of the story suggests the main theme, which is the difference between boys and girls. But Munro's story has many themes, and I can't speak for how you reacted to them. I can list a few that stood out for me:

1. Work: There is a sense in which the relative importance of family members is connected to their ability to work on the farm, and this work is gendered: the father does the important work, and the narrator gains status (and self-worth) in her ability to be a help to him. The threat that the narrator might be forced into doing housework is a kind of humiliation.
2. Childhood: The relationship between the narrator and her brother, Laird, is complex. As an older sibling, the narrator wants to take care of Laird and teach him about life (and death) on the farm. One example of this is their elaborate rules for staying "safe" in the attic bedroom they share. The narrator's care for Laird, however, is undermined by Laird's coming to usurp her role on the farm.
3. Violence: The story is full of violence of all sorts. Most explicitly, the story is concerned with violence towards animals, particularly the foxes and horses. The family makes their living exploiting these animals, and it is possible that this sort of everyday violence translates into the emotional abuse that family members perpetrate on each other.
4. Freedom: The climax of the story has to do with the narrator letting a horse escape that was about to be killed. This moment crystallizes for the narrator her predicament as a female on the farm—she identifies more with the horse, in its captivity, than with her father, who needs to kill the horse so he can feed it to the foxes. Ultimately, however, she realizes the emptiness of her action. As she says, she "was on Flora's side, and that made me no use to anyone, not even to her." Still, it was "the only thing I could do." In a sense, the narrator's captivity as a woman on the farm is more profound than that of the horse.

Any of these points (and there are many others!) could be developed into a thesis. Perhaps the simplest way into the topic would be to pose a question: was she right to hold the gate open?

The different ways that a child comes of age is a key theme in Alice Munro’s story. Because that process is complex, Munro explores a number of different aspects of the narrator’s pre-teenage experience. Although the title implies that gender is the central dynamic, it also can refer collectively to children, thus encompassing more youthful experiences.

An effective thesis on which to base an essay will incorporate a substantial amount of evidence from the story. It is important to work outward from the text and locate the points that the author seems to emphasize. The narrator knows about farm life and, even though she does not want to participate in the slaughter, she understands that the step is inevitable. By identifying several key moments in the narrator’s changing attitudes, you can arrive at a thesis that is applicable to the entire story rather than just one aspect of it.

The narrator has felt closer to her father than to her mother because of her appreciation of the natural world, especially the horses, with which he was associated. However, coming of age requires making one’s own choices. An appropriate thesis statement would attend to those contradictions. One solid thesis statement would propose the narrator’s act of rebellion against her father as the most important point in her transition to adulthood. By freeing the condemned horses, she fulfills the idea she had arrived at: “A girl was. . . what I had to become"; that is, a person who makes her own decisions.

A good place to start when writing a thesis is with themes.  The first one that comes to mind is the reality of growing up.  I have included a link to a summary and themes page.  You can describe how the narrator grows up and comes to the reality of responsibility.