Canadian thanksgiving has only a brief history and nowhere near as documented as the American thanksgiving. There are many stories to how it started, and here are the two most documented.
So one take on Canadian Thanksgiving started with Martin Frobisher in 1578, after trying to find a northern passage to Asia. He held the first Thanksgiving celebration in Frobisher Bay on Baffin Island, giving thanks to God for a safe journey.
Some say that is comes from French settlers arriving in Canada and offering thanks for a great harvest. Samuel de Champlain started this when he arrived and influenced the indigenous peoples to start having a day to honour God and the plentifulness of food. The french people had very large feasts starting after the harvest and into winter.
American Loyalist immigration brought the tradition of thanksgiving turkey to Canada, where it stuck with many, and influenced Thanksgiving today.