ST. AUGUSTINE, Fla. - Back in 1621, the colonists in Plymouth, Massachusetts and Native Americans shared an autumn feast, which is often referred to as the first thanksgiving. However, historians in Florida have said otherwise. According to the National Park Service, the first-recorded thanksgiving took place in St. Augustine in 1565 when Spanish explorer Pedro Menéndez de Avilés and hundreds of Spanish settlers founded St. Augustine in La Florida. This occurred decades before the Pilgrims stepped foot in New England.