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The First Thanksgiving took place in the autumn of 1621 in Patuxet/New Plymouth (somewhere between September 21 & November 9) to celebrate the Pilgrim’s first successful harvest. It was not a one day sit down but a three day celebration which included prayer. The event was not repeated in the colonies until years years so it was not the start of a tradition. Some historians would argue that the December 4, 1619 prayer celebration by the Virignia colony was actually the first Thanksgiving. But since the Pilgrims’ shared Thanksgiving with the Wampanoag tribe, it served as a model for the annual celebration. It was Thanksgiving 2.0 and got history’s nod as “The First Thanksgiving”. Interestingly, the native peoples did annually celebrate the harvest with feasting.

Was there Turkey?

Yes, along with seafood (cod & bass), Indian corn, peas, deer, waterfowl, wheat & barley. Here’s a firsthand account by Edward Winslow from Mourt’s Relation, written in December 1621.

“Our harvest being gotten in, our governor sent four men on fowling, that so we might after a special manner rejoice together after we had gathered the fruit of our labors. They four in one day killed as much fowl as, with a little help beside, served the company almost a week. At which time, amongst other recreations, we exercised our arms, Many of the Indians coming amongst us, and among the rest their greatest King Massasoit, with some ninety men, whom for three days we entertained and feasted, and they went out and killed five deer, which they brought to the plantation and bestowed on our governor, and upon the captain and others. And although it be not always so plentiful as it was this time with us, yet by the goodness of God, we are so far from want that we often wish you partakers of our plenty.”

And from the Governor of the Colony, William Bradford:

They began now to gather in the small harvest they had, and to fit up their houses and dwellings against winter, being all well recovered in health and strength and had all things in good plenty. For as some were thus employed in affairs abroad, others were exercising in fishing, about cod and bass and other fish, of which they took good store, of which every family had their portion. All the summer there was no want; and now began to come in store of fowl, as winter approached, of which this place did abound when they came first (but afterward decreased by degrees). And besides waterfowl there was great store of wild turkeys, of which they took many, besides venison, etc. Besides they had about a peck of meal a week to a person, or now since harvest, Indian corn to that proportion. Which made many afterwards write so largely of their plenty here to their friends in England, which were not feigned but true reports.

There might have been cranberries but no cranberry sauce.  There were games but no football.
The First Thanksgiving Proclamation was June 20, 1676. Thanksgiving did not become a national holiday until 1863 with Lincloln’s Thanksgiving Proclamation. The last Thursday in November was chosen. It was not until 1941 that the holiday was changed to the fourth Thursday by Congress.
Sources: Members.aol; Scholastic; Pilgrims.net; Plimoth Plantation; Pilgrim Hall Museum; Univ. of Oklahoma College of Law; Wikipedia.