The Enterprise-A gets a fully-staffed kitchen, but the Enterprise-D doesn't.
Looks like they used to cook turkey the old fashioned way on the Enterprise for their Thanksgiving with Chancellor Gorkon, but oh no, real baked turkey is just too hard for the 24th century and their replicators.
They definitely celebrate First Contact though. In my headcannon they just shifted the day but kept the name. Thanksgiving is way better than First Contact Day.