Yule and the Winter Solstice is the traditional time for gathering with family and giving thanks that we made it to the turn of the year.
This comes after Samhain (Halloween), which is the time when you wave goodbye to those that did not make it this far, and light candles for those you miss (the Celtic Festival of the Dead).
Before that is usually the harvest festivals, which is the origin of Thanksgiving.
The "Pilgrim Fathers" left Plymouth (due to religious differences) and went to Holland where they lived for several years until (religious differences again) and then they went to the "new world".
The now depleted and diseased Pilgrims struggled to grow anything they brought with them, or hunt the local wildlife. They did not know which plants were poisonous until becoming sick.
The first successful crop was corn which they were taught to grow by a local.
The following year a gathering was held as they gave thanks, and the "Indians" that attended brought turkeys to eat with the cornbread.
So in many ways we all have a Thanksgiving festival, in every corner of the world (even though it is a ball with no corners).