Thanksgiving used to look a lot more like Halloween. The practice of dressing up in costumes and asking for candy didn't become common in the U.S. until the 1940s and 1950s; before then, people trick-or-treated—or, well, did something that resembled trick-or-treating—on the national day of gratitude.

They called it "Thanksgiving Masking."

The masking started, it seems, in the mid-19th century—an outgrowth of "mumming," the centuries-old tradition in which costumed men went from door to door, asking for food and/or money. (Sometimes, but not always, the men would play music in exchange for the stuff.) 

"There were Fausts, Filipinos, Mephistos, Boers, Uncle Sams, John Bulls, Harlequins, bandits, sailors, soldiers in khaki suits."

By the end of the 19th century, the process had evolved to look downright Halloween-y. People would don masks—especially popular: parrots and other birds and animals—and parade around town.Boys would wear girls' clothing, "tog[ging] themselves out in worn-out finery of their sisters" and spending the day "gamboling in awkward mimicry of their sisters to the casual street piano."