Did the Thanksgiving holidays originate during the Millennial Reign?

In this video we discuss the Feast of Tabernacles prophesied of in Zechariah 14 as a past event which occurred during the Millennial Reign of Jesus Christ. This yearly pilgrimage to Jerusalem is seen in a shadow in the story of the Queen of Sheba visiting King Solomon in 1 Kings 10 (and 2 Chronicles 9). Does the Thanksgiving holidays we celebrate today originate from this yearly pilgrimage of this past era? What wisdom was given to those who journeyed yearly to Jerusalem during this 1,000 year period? Do we still see evidence of this imparted wisdom and knowledge of the Millennial Reign in our world today?