From Cooking the History Books: The Thanksgiving Massacre:
In 1637, the official Thanksgiving holiday we know today came into existence. (Some people argue it formally came into existence during the Civil War, in 1863, when President Lincoln proclaimed it, which also was the same year he had 38 Sioux hung on Christmas Eve.) William Newell, a Penobscot Indian and former chair of the anthropology department of the University of Connecticut, claims that the first Thanksgiving was not "a festive gathering of Indians and Pilgrims, but rather a celebration of the massacre of 700 Pequot men, women and children." In 1637, the Pequot tribe of Connecticut gathered for the annual Green Corn Dance ceremony. Mercenaries of the English and Dutch attacked and surrounded the village; burning down everything and shooting whomever try to escape. The next day, Newell notes, the Governor of Massachusetts Bay Colony declared: "A day of Thanksgiving, thanking God that they had eliminated over 700 men, women and children." It was signed into law that, "This day forth shall be a day of celebration and thanksgiving for subduing the Pequots."
More at the link.