The first Thanksgiving Day in Canada after Confederation was observed on April 15, 1872, to celebrate the recovery of The Prince of Wales (later King Edward VII) from a serious illness.
Here's a history of Thanksgiving day in Canada from Wikipedia
The history of Thanksgiving in Canada goes back to an explorer, Martin Frobisher, who had been trying to find a northern passage to the Orient. In the year 1578, he held a formal ceremony, in what is now the province of Newfoundland and Labrador, to give thanks for surviving the long journey. This feast is considered by many to be the first Thanksgiving celebration in North America, although celebrating the harvest and giving thanks for a successful bounty of crops had been a long-standing tradition throughout North America by various First Nations and Native American groups.
Happy Thanksgiving Day!