St. Augustine was founded in 1565 on the feast day of St. Augustine of Hippo. Don't know what they ate, but it wasn't hippo. The first foreign 'thanksgiving' there.

Santa Fe was well established, and became the capital city of the province in 1610; the Palace of the Governors built in 1612. Thanksgiving dinners were game, squash, beans, piñon nuts. Probably no chili, although the chili pepper is American.

The pilgrim foreigners came in 1620.

The pueblo Indians and other Indian groups practicing agriculture celebrated and feasted at harvest, with game and their crops.
The first thanksgivings in North America were theirs.