The Constitutional Congress declared this a holiday once the Constitution was signed in 1798.  However, the idea was backtracked to be left to each state to decide.  At the time it was celebrated with prayer and some thought that the Federal government best not dictate religious holidays.

Fun fact:  President Franklin D. Roosevelt tried to extend the Christmas shopping holiday by moving Thanksgiving from the 4th Thursday to the 3rd Thursday in November.  Not all states wanted the change and in 1941 Congress made it law to celebrate Thanksgiving on the 4th Thursday.