I like it. The initial thesis draft is solid. It could use some tweaking, but it is starting in a good place. Make sure the final punctuation of the thesis is not a question mark. A thesis statement is exactly that; it is a statement, not a question. Additionally, it needs to be a statement that argues something. It can't be "Thoreau lived during the Transcendentalist movement." There is nothing to prove, because that's a statement of fact.

The other thing that I would consider with the thesis statement is whether or not you want the thesis statement to be a positive argument about Thoreau or a negative argument against Thoreau and his worldview. The initial premise provided to eNotes does show that you already realize that Thoreau is an outlier. He is not like the average American, and your thesis could be about how and why that is a good or bad thing. You could certainly argue that his eschewing of materialism and emphasis on free thinking and self reliance is ultimately something that is subversive to the average American mindset. You could argue that his actions fundamentally work against notions like capitalism and standard educational systems. This thesis might look something like the following thesis statement: "Although Thoreau's emphasis on nature and man's independence seems heroic, his thoughts are quite subversive to the stereotypical materialistic American Dream."

If you were writing this thesis for one of my classes, I would like to see it establish more of the relationship among these ideas. You might try something like this:

Unlike the average American, Henry David Thoreau rejected materialism as a result of his free and independent thinking, his belief in the importance of nature, and the value he placed on self-reliance.

This sentence retains the distinction you make between Thoreau and the average American, and it retains the three ways in which you plan to support the thesis (with discussions of his free thought, the importance of nature, and self-reliance). However, it links the rejection of materialism to these three discussions by making clear their relationship: Thoreau rejects materialism as a result of or because of these beliefs and values that he does have.