Thanksgiving never was a religious holiday. That myth is always cited by people looking to justify not celebrating. The first national day of Thanksgiving was declared by the first Congress to meet under the new Constitution in the 1780’s to give thanks to G-d for the new Constitution. Southern Congressmen had objected to the declaration because it was something that European kings did. Roger Sherman of Connecticut argued that they were actually following the example of King Solomon, who thanked G-d for allowing him to build the Temple. The Southerners said they had no problem emulating Solomon and approved the declaration.
While it is true that the local church instituted a Thanksgiving prayer, so did the Spanish and Portuguese synagogue, which was then located just down the street from Federal Hall, where Congress met.