The first official, annual Thanksgiving in Canada was celebrated on 6 November 1879, though Indigenous peoples in Canada have a history of celebrating the fall harvest that predates the arrival of European settlers. Sir Martin Frobisher and his crew are credited as the first Europeans to celebrate a Thanksgiving ceremony in North America, in 1578. They were followed by the inhabitants of New France under Samuel de Champlain in 1606. 
The celebration featuring the uniquely North American turkey, squash and pumpkin was introduced to Nova Scotia in the 1750s and became common across Canada by the 1870s. In 1957, Thanksgiving was proclaimed an annual event to occur on the second Monday of October. It is an official statutory holiday in all provinces and territories except Prince Edward Island, New Brunswick, and Nova Scotia.
(source: The Canadian Encyclopedia)