1621,with the Pilgrims and local Natives, right?
Not hardly, buckwheat.
1578 with Marin Frobisher and his men holding a Thanksgiving feast, somewhere in North America, thankful for not dying crossing the Atlantic. It might have been in Newfoundland, or maybe on the Canadian Atlantic Arctic, or maybe somewhere else on the Canadian Atlantic coast.
Frobisher was an explorer and privateer and, interestingly enough, died in the manner depicted as a danger in Master and Commander. I.e, he was shot in an engagement with the Spanish and the surgeon extracted the ball, but not the patching, which infected.
All of the above courtesy of Craig Beard.
But wait, Don Pedro Menéndez de Avilés had a Mass of Thanksgiving celebrated on September 8, 1565 upon his landing in Florida. That beats out Frobisher by over a decade. And if that doesn't count, coming after Frobisher, but before Champlain, was Juan de Oñate in 1598, who led an expedition of 500 people, and 7,000 head of livestock through the harsh Chihuahua to a location that is now El Paso and, on April 30, 1598 dedicated a day of Thanksgiving.
What does all this tell us? Well, what we've noted before. Thanksgivings are a common thing in Christian cultures. The "first" Thanksgiving really wasn't, and it wasn't particularly unique.