As usual, Charlie H. provides a great historical context regarding Yidden embracing Thanksgiving at the time of the founding fathers. That “mesorah” continued through the early 19th century and beyond. it was not uncommon for some shuls to hold services on Thanksgiving (as was the custom for a time among American churches)
Prof. Jonathan Sarna, (not frum but nonetheless a highly regarded Jewish historian) asserts that Thanksgiving was one of four annual holidays — Pesach, Chanukah and 4th of July–that together promoted what he called a “cult of synthesis,” (his inyan that Yiddeshkeit and Americanism reinforced one another in a non-assimilation context). According to Sarna’s research, there were dozens of “Thanksgiving sermons” published in newspapers in the early 1900s, some from rabbonim at frum shuls, evoking the idea that Jews could participate in the Thanksgiving holiday. This was at least 50 years before R’ Soloveitchik and R’ Feinstein (both keenly aware of the historical context) provided limited heterim for participation by frum yidden.
Menu