We have a group of Macy's employees to thank for this beloved event. The first Macy's Thanksgiving Day Parade took place in 1924 at the Macy's Department store located in New York City's Herald Square. The original name was "Macy's Christmas Parade," though it was still held on Thanksgiving. Although it was the first of its kind, they didn't hesitate to pull out all the stops. The first parade included elephants and other animals borrowed from the Central Park Zoo. Now, of course, the parade is more animal-friendly as they swapped out the animals with giant balloons.