Yes, ‘Thanksgiving’ is considered a proper noun. A proper noun is a specific name that identifies a particular person, place, or organization, and it is always capitalized.
In this case, ‘Thanksgiving’ refers to a specific holiday celebrated in the United States and Canada, typically as a day of giving thanks for the blessings of the harvest and the preceding year. Because it denotes a particular event and is recognized as such, it is treated as a proper noun.
For instance, one would say, ‘We celebrate Thanksgiving in November,’ rather than ‘We celebrate thanksgiving in November.’ The capitalization indicates that it is a special occasion, distinguishing it from the general act of giving thanks.