The First Thanksgiving December 4, 1619

In 1607 the Jamestowne settlement was established in present day Virginia. For the first 12 years of the colony there was no established or recognized government.
The first representative assembly in the New World convened in the Jamestown church on July 30, 1619.[1] The General Assembly met in response to orders from the Virginia Company “to establish one equal and uniform government over all Virginia” which would provide “just laws for the happy guiding and governing of the people there inhabiting.”
Later that year on December 4, A group of settlers arrived where they held a service thanking God for their safe arrival. Some suggest this was the true first Thanksgiving in America, ahead of the Pilgrims’ arrival in Massachusetts. Before leaving England, the new settlers vowed: “Wee ordaine that the day of our ships arrivall at the place assigned for plantacon in the land of Virginia shall be yearly and perpetually keept holy as a day of Thanksgiving to Almighty God.”[2] Those words are carved in a brick gazebo marking the approximate location of their landing along the James River in Berkeley Plantation.

The first Thanksgiving celebration was NOT because of a “bountiful harvest” or because the settlers were “saved from starvation” by a group of natives. The first day of Thanksgiving in the new world, was a day to give thanks for a safe arrival from England.

Notes
1 – http://www.jamestowne.org/Jamestowne_Society_Chronology.htm
2 – http://www.virginia.org/site/features.asp?featureid=50

After a google search, I found several sites claiming a “mass of thanksgiving” in St. Augustine on September 8, 1565 – but nothing citing historical records, though it is reported early records from the area were destroyed in approx 1586.
http://ameliaislandliving.com/fernandinabeach/2010/11/historians-real-first-thanksgiving-in-florida/
http://www.staugustinelighthouse.com/blog/lamposts/americas_first_thanksgiving_in.php