Not every country celebrates Thanksgiving in November like the US does. In Canada, for instance, Thanksgiving takes place in October. The history of the United States' Thanksgiving celebration can be accurately traced back to the time of pilgrims; while it was not a large feast shared by Native Americans of the era, as some legends would have us believe, it was, in fact, a religious holiday relegated to harvest time. This is why Thanksgiving is celebrated during the fall of the year, no matter where one might be.
"Thanksgiving Days" were established by the Puritans as religious holidays. They only observed 3 types of holidays, the Sabbath, Fast Days, and Thanksgiving Days, which were typically followed by a big dinner. Fast days over time were relegated to springtime, and thanksgiving days, when the harvest was in, started to be celebrated in the fall. So the holiday was associated with the fall early on, and the leaders would issue a proclamation of thanksgiving when they felt the time was right. In 1789, President Washington issued a Thanksgiving Proclamation, to be held on Thursday, November 26th. In 1863, President Lincoln issued a proclamation "to set apart and observe the last Thursday of November next, as a day of Thanksgiving and Praise..." In 1939 President Roosevelt issued a call for Thanksgiving on the last thursday in November, ostensibly to extend the Christmas shopping season and stimulate the economy. Finally, in 1941, Congress declared that Thanksgiving will be observed as a legal holiday on the fourth Thursday of November every year.