There was no set annual Thanksgiving until it was established in the middle of the Civil War. However, from the time the Pilgrims landed up to the establishment of a national day of Thanksgiving in November, there were days declared to be days of Thanksgiving for special events that were considered special blessings and recognition from G-d such as the end of an epidemic; a war; escaping death of a weather event, etc. Although not nearly as observant as those in the 17th and 18th century, religion was much more central with days of fasting, days of Thanksgiving,etc. No one was excused, as they were not excused from Sunday service. Although there were changes happening, especially after the Revolution, Protestantism which is what we are talking about when we discuss early 19th century religion. In a couple decades, the new religious revivals would be taking place in upstate New York. I know I've skipped a lot of detail, but I'm doing this from memory. I do hope this brief explanation helps. Shalom Peggy J. Knox