Yes, there is a religious significance of celebrating thanksgiving. It has its historical roots in religious and cultural traditions. It is said that the first thanksgiving by the Pilgrims was a harvest celebration between Plymouth Pilgrims and their Native Americans as a means to thank Almighty God for the previous year.
The first thanksgiving in America was observed in Virginia. On the 4th of December 1619, about 38 English settlers arrived at Berkley Plantation on the James River near the present Charles City, Virginia. The day of their arrival was commemorated as a day of thanksgiving to Almighty.