Great beginning book for introducing the concepts of the holiday: Pilgrims, Native Americans, Mayflower, harvest, feast. etc.
A more in depth look at the first Thanksgiving. Explains the hardship of the trip on the Mayflower and the first year in North America. Good detail of what life was like for Pilgrim children on the journey as well as how they helped their families with crops, food preparation, and more. A great book for kids beyond preschool level.
Here is how I set it up for the kids as an invitation to play and learn. For more about the materials we used and how we used them, click here.