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If you want more ideas, see Thanksgiving Activities for the Primary Classroom here.
I also made several fun activities that would be great for nursery here.
Here's another fun file folder game from Green Jell-O with Carrot.
"A Song of Thanks"- Children's Songbook pg. 20
"Can a Little Child Like Me?"- Children's Songbook pg. 9
"Children All Over the World"- Children's Songbook pg. 16
"Family Prayer"- Children's Songbook pg. 189
"For Health and Strength"- Children's Songbook pg. 21 (round)
"For Thy Bounteous Blessings"- Children's Songbook pg. 21 (round)
"I Am Glad for Many Things"- Children's Songbook pg. 151
"I Have Two Ears"- Children's Songbook pg. 269
"I'm Thankful to Be Me"- Children's Songbook pg. 11
"I Thank Thee, Dear Father"- Children's Songbook pg. 7
"I Think the World is Glorious"- Children's Songbook pg. 230
"My Heavenly Father Loves Me"- Children's Songbook pg. 228
"Thanks to Our Father"- Children's Songbook pg. 20
Go on a Thankful Hunt- I love this idea. Find things in each category as you walk around that you can be thankful for- includes a story from President Monson.
Count Your Blessings- A picture hunt to find things to be thankful about.
Every Blessing that I Enjoy Here- Print out and play the matching game or put the pictures in a bag and have each child pick one out and say what it is and if it makes the happy. You could also punch holes in the middle of the pictures and make thankful necklaces out of them with colored pasta on yarn too.
Heavenly Father's Many Blessings- Draw a happy face next to the pictures of the blessings you enjoy; draw an extra one in the blank space.
Let Thy Heart Be Full of Thanks Unto God- Bright Idea poster
Be a Sunbeam for Jesus- Sun template for room to draw in the middle or put Thanksgiving stickers on it
Showing Thanks- Poem with pictures and a spot to draw
Live in Thanksgiving Daily- Bright Ideas poster
I am Thankful for- A poem and bordered page for little ones to draw something they are thankful for.
I am Thankful for my Blessings- Coloring page of the story of the 10 lepers.
I am Thankful to Know we are All Children of God- Coloring Page