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," and it  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. 

In addition to thanksgiving traditions brought to North America by settlers from many parts of the world, some authorities link the American thanksgiving with the ancient Jewish observance of Sukkot in the fall, which expresses thanks to God for the bounty of the earth. Indeed, all the major world religions - including Hinduism, Buddhism, Judaism, Christianity and Islam - have rituals, observances and liturgies that express thanks and gratitude to a higher power for the gift of life and its wonders.