It wasn't until 1863, in the midst of the Civil War, that President Abraham Lincoln proclaimed a national Thanksgiving Day to be held each November.James Madison, principal author of the Constitution and our 4th President, was so committed to the idea of Church/State separation that he even resisted making any statements or addresses specifically for holidays. I think he did cave in and give some kind of holiday statement (Thanksgiving?) but later he said he regretted the decision as he felt it was outside the domain of his powers as President.
And yet there a lot of people running around today who claim the entire document was founded upon the Bible. It's shocking how ignorant people can be.
James Madison: Born March 16, 1751 Died June 28, 1836
So James Madison didn't have anything to do with Thanksgiving.