In my opinion these sorts of things tend to come down to hairsplitting, semantics, etc. The “First Thanksgiving” as we think of it in popular culture is largely a myth created by New England & New York Yankee cultural imperialists & foisted on the rest of the country over the period from the 1860s to the 1930s, by which time it had been firmly ensconced as what everyone thinks of it being today.
My understanding is that both feasts (to celebrate good times) & fasts (to ask God for help getting through bad times) were very common in European Protestant cultures in the 17th century, and so it’d probably be hard to find any early colony in which feasts (often referred to as “thanksgiving”) didn’t occur relatively regularly. Which one was technically “first” doesn’t seem (at least to me) to matter that much other than as a footnote or piece of trivia. The thing that matters much more is that the (largely mythological) Plymouth one is what took over the American mind & culture as “the first.”
This kind of reminds me of the way some people will make a big deal out of asking “Do you know who the first president of the United States was?”, and after the person being asked inevitably answers “George Washington,” the questioner responds with, “No! it was John Hanson.” Now, the fact of the matter is that John Hanson was the first to hold the office of “President of the Congress” under the Articles of Confederation, so you could technically say that he was the first to have the word “President” as a title. But that position was nothing at all like what we all think of as “President of the United States,” head of a whole branch of gov’t with all the powers & privileges we associate with that title. The office Hanson held was MUCH more limited & humble, & was largely ceremonial. So in my mind, for practical purposes of what people mean when they say “President of the United States,” the first one functionally (and even technically if you wanna REALLY split hairs, since Hanson’s title was “President of the Congress,” NOT “President of the United States”) Washington is till it.
https://en.wikipedia.org/wiki/John_Hanson
https://en.wikipedia.org/wiki/President_of_the_Continental_Congress