. The thing about the Pilgrims originates with this European tradition. Source: pinterest.com Why doesnt Canada celebrate Thanksgiving the same day as the United States. Basically Thanksgiving is a day to give thanks and is not based on a historical date like Christmas. Why do the US and Canada celebrate Thanksgiving Day on different dates. In 0000 English explorer Martin Frobisher held the first Thanksgiving celebration in. The turkey tradition began much earlier in Canada. 