To fully appreciate the Thanksgiving holiday, it's best to go back to the source.
Philippians 4.6,7: Be careful for nothing: but in everything by prayer and supplication with thanksgiving let your requests be made known unto God. And the peace of God, which passeth all understanding, shall keep your hearts and minds through Christ Jesus.
I have abridged how Martyn Lloyd-Jones expounded this in his book Spiritual Depression, Chapter 19.
Is the apostle just tumbling out one word after another, or is he speaking advisedly? I can show you that he is indeed speaking advisedly, as he shows us how to let our requests be made known unto God.
How are we to do that? First he tells us to pray. He differentiates between prayer and supplication and thanksgiving. What does he mean by prayer? This is the most general term and it means worship and adoration. If you have problems that seem insoluble, if you are liable to become anxious and overburdened, and somebody tells you to pray, do not rush to God with your petition. That is not the way. Before you make your requests known unto God, pray, worship, adore. That is the beginning.
But following prayer comes supplication. Now we are moving on. Having worshipped God because God is God, having offered this general worship and adoration, we come now to the particular, and the apostle here encourages us to make our supplications. He tells us that we can take particular things to God, that petition is a legitimate part of prayer. So we bring our petitions, the particular things that are now concerning us.
But wait, there is still one other thing -- 'by prayer and application, with thanksgiving'. This is one of the most vital of all these terms. And it is just here that so many of us go astray when we are in this condition with which the apostle is dealing. If, while we pray to God, we have a grudge against Him in our hearts, we have no right to expect that the peace of God will keep our heart and our mind. If we go on our knees feeling that God is against us, we may as well get up and go out. No, we must approach Him 'with thanksgiving'. There must be no doubt as to the goodness of God in our heart. There must be no question or query; we must have positive reasons for thanking God. We have our problems and troubles but there on our knees we must ask ourselves: 'What can I thank God for?' We have to do that deliberately and it is something that we can do. We must remind ourselves that He is our Father, that he loves us so much that the very hairs of our head are all numbered. And when we have reminded ourselves of these things we must pour out our heart in thanksgiving.
We have seen what we have to do, we have been instructed as to how we are to deal with it, and now comes the gracious promise to those who do what the apostle has just been telling us. Have you noticed the promise, have you noticed its character, have you noticed that it does not even mention the things that are worrying you? That is the peculiar thing about the Christian method of dealing with anxiety. 'In all things,' says the apostle -- these things that are worrying -- make your requests known and God will banish and remove them all?' But Paul does not say that. He does not mention them; he just says nothing about them. To me that is one of the most thrilling things about the Christian life. The glory of the gospel is this, that it is concerned about us and not about our circumstances. The final triumph of the gospel is seen in this, that whatever our circumstances, we ourselves can be put right and maintained. It does not mention our condition, it does not talk about these things that are harassing and perplexing, it does not say a single word about them. They may or may not happen, I do not know. Paul does not say that the thing feared is not going to take place, he says that we shall be kept whether it happens or whether it does not happen. Thank God, that is the victory. I am taken above circumstances, I am triumphant in spite of them.