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Canadas Thanksgiving is based on a bountiful harvest and not on the Pilgrims and the New World like the Unites States holiday. The reason it occurs earlier than the US Thanksgiving is that Canada is north of the United States and because of this the harvest season occurs earlier during the year. So, it only makes sense for Canada to celebrate its fall harvest during their fall and harvest time!
Amazingly, the first Canadian Thanksgiving goes back even further than the United States. Back in 1578 an English explorer named Martin Frobisher was trying to find a northern route to the Orient. He was not successful in his quest, but he did end up establishing a settlement somewhere along what is Newfoundland today. Despite not making it to the Orient Frobisher was thankful the journey had been safe and decided to have a day of thanks. This resulted in the first Canadian Thanksgiving.
During this same time frame many French settlers were making their way to the area and also began having days of thanks during the harvest time. They, like the American Pilgrims, invited local Indians to take part in their feast.
This is how the Canadian Thanksgiving started and why they dont celebrate on the same day as the United States. This is a nice little piece of information to take with you so you know why our northern neighbors celebrate on a different date and also the reason why they celebrate!