From Wikipedia, in the US,
President Abraham Lincoln proclaimed a national Thanksgiving Day, to be celebrated on the final Thursday in November 1863...Roosevelt tried to change the date but was only partially successful; he got it moved to the fourth Thursday of November.
When I have visiting positions at US schools which take a holiday for Columbus Day or Discoverers' Day (Hawaii), I make it a point to tell the students that we get the day off because it is Thanksgiving in Canada on that date.
The first official Canadian Thanksgiving Day was celebrated on April 5, 1872 in gratitude for the Prince of Wales' recovery from serious illness. The holiday was not officially recognized again till 1879, when parliament declared Thanksgiving to be an annual national secular holiday. The date was moved several times, finally being set on its current date (the second Monday in October) in 1957.