The origins of Canadian Thanksgiving are more closely connected to the traditions of Europe than of the United States. Long before Europeans settled in North America, festivals of thanks and celebrations of harvest took place in Europe in the month of October. The very first Thanksgiving celebration in North America took place in Canada when Martin Frobisher, an explorer from England, arrived in Newfoundland in 1578. He wanted to give thanks for his safe arrival to the New World. That means the first Thanksgiving in Canada was celebrated 43 years before the pilgrims landed in Plymouth, Massachusetts!
For a few hundred years, Thanksgiving was celebrated in either late October or early November, before it was declared a national holiday in 1879. It was then, that November 6th was set aside as the official Thanksgiving holiday. But then on January 31, 1957, Canadian Parliament announced that on the second Monday in October, Thanksgiving would be "a day of general thanksgiving to almighty God for the bountiful harvest with which Harvest Season Canada has been blessed." Thanksgiving was moved to the second Monday in October because after the World Wars, Remembrance Day (November 11th) and Thanksgiving kept falling in the same week.
Another reason for Canadian Thanksgiving arriving earlier than its American counterpart is that Canada is geographically further north than the United States, causing the Canadian harvest season to arrive earlier than the American harvest season. And since Thanksgiving for Canadians is more about giving thanks for the harvest season than the arrival of pilgrims, it makes sense to celebrate the holiday in October.