Various First Nations in Canada had long-standing traditions celebrating the harvest and giving thanks for a successful bounty of crops. Canada's First Nations and Native Americans throughout the Americas, including the Pueblo, Cherokee, Cree and many others organized harvest festivals, ceremonial dances, and other celebrations of thanks for centuries before the arrival of Europeans in North America.  

The history of Thanksgiving in Canada can be traced back to the 1578 voyage of Martin Frobisher from England in search of the Northwest Passage. In this, his third, voyage to the Frobisher Bay area of Baffin Island in the present Canadian Territory of Nunavut, it was also the intention to start a small settlement and his fleet of 15 ships were so fitted out with men, materials and provisions for this purpose. However, the loss of one of his ships through contact with ice along with much of the building material was to prevent him from doing so. The expedition was plagued by ice and freak storms which at times had scattered the fleet and on meeting together again at their anchorage in Frobisher Bay, "..Mayster Wolfall, [ Robert Wolfall ] a learned man, appointed by her Majesties Councell to be their minister and preacher, made unto them a godly sermon, exhorting them especially to be thankefull to God for their strange and miraculous deliverance in those so dangerous places,..." .

Source - Wikipedia