Happy Columbus Day for you Mike!
I tried doing a quick search to find out why Canada and the US celebrate Thanksgiving on different days, but there were no 'to the point' answers...
Date of Thanksgiving
In the United States Thanksgiving was observed on various dates but by the mid 20th century, most states celebrated on the last Thursday in November. On December 26, 1941, President Franklin D. Roosevelt signed a bill into law making Thanksgiving a national holiday and settling it to the 4th Thursday in November. The day after Thanksgiving is also a holiday so Thanksgiving is always a 4-day weekend for Americans.
Similarly in Canada, the festival did not have a fixed date until the late 19th century, at which time it was typically held on November 6. In 1957 the Canadian Parliament proclaimed Thanksgiving to be observed on the 2nd Monday of October. Thanksgiving is a 3-day weekend in Canada.