As far as 'official' celebrations, yeah, Canada's Thanksgiving predates Lincoln's proclamation. But the tradition of harvest thanks-giving celebrations dates back to long before any of the English went to the colonies in North America, notably in southeast England, where many of the 'separatists' were from (once they emigrated they became 'pilgrims').

I suspect the first thanks-giving celebration in North America dates back to the first successful harvest by English emigres, so possibly in... Roanoke?