There weren't any Pilgrims. It started off as a Protestant religious holiday that had, goodness gracious, pro-British and anti-American overtones. In 1957, Parliament passed legislation to make Thanksgiving an annual holiday celebrated on the second Monday of October.
A somewhat scholarly but certainly readable account of the history of Canadian Thanksgiving can be found here.
As for us, we're on our way to Chilliwack for a turkey dinner with Jake and Taegan and their parents - that adds up to visiting all seven grandkids in their homes on three consecutive days for us - so we'll simply say Happy Thanksgiving.