It's always good to consider this topic! Reading hubs on gratefulness and random kindness helps one realize that there are many who try to remember and practice the concepts year round.
That said, the American Thanksgiving Day is rooted in the fact that a group of people escaped the religious persecution of other countries to live in a place where they were free from a government that gave them the choice of loss of property/loss of money/prison/death, or of following the government's mandates on religion. Today, that those people are openly mocked does not change the facts.
While it is a huge mistake to romanticize the Pilgrims' and the Puritans' efforts/journeys beginning in the early 1500s, as well as their lives in the early 1600s, there is no mistaking that their growing pains led to the founding of our Republic, the United States of America, in the later 1700s. This Republic's unique development began to lead people in Europe, and consequently around the world, to work towards more freedom in their nations. Today, this Republic still challenges oppression in other nations, especially for the poor, and for women and children.
Though an imperfect nation from the get go, there are many benefits peoples of the past and of today have because of the efforts to establish this free society. For instance, human sacrifice has been all but abolished among indigenous cultures here and around the world, the practice of female mutilation is still an ongoing battle in too many cultures but now it is publicly challenged, various slaveries throughout the world are now openly opposed, and there are a substantial number of other large and small changes in entrenched issues that we could discuss.
Failures within the effort to establish and grow this Republic are no surprise, but to begin studying the topic from the perspective of truth is a real need for many. That we can still openly discuss it, refer to early writings to get a grip of what Founders worked towards, and to halt regular life by enjoying a special holiday to focus on being thankful for all we now take for granted is a good thing. It is a great lot to be thankful for, and something we should encourage.
Thanks for asking because thinking your question through has refreshed my mind on the why behind this holiday. Before Thanksgiving Day you might enjoy the article by Mark David Hall, Ph.D. titled "Did America have a Christian Founding?", along with the The Federalist Papers.