Everybody knows that the Pilgrims celebrated the first Thanksgiving, right? Well, probably not, but it was the Pilgrims' Thanksgiving that gave us our Thanksgiving holiday as we know it today.
The Pilgrims came to the New World looking for a way to worship God as they wished. They were not Puritans. Puritans wanted to change the Church of England to do away with its bishops but keep its ties to the government. The Puritans went on to settle the Massachusetts Bay Colony. The Pilgrims at the Plymouth Colony were Separatists.