The New York Public Library has a great collection of photographs from 1933 of "Thanksgiving Ragamuffins." Unfamiliar with the term? According to this website, kids would get dressed up and "go from house to house yelling, 'Anything f' Thanksgiv'n?' In return they would be rewarded with coins, or a piece of fruit, or a piece of candy. Apparently in those days it was called Ragamuffin Day and was practiced the day before Thanksgiving."
In this 1995 NY Times letter to the editor, one man explains, "My brother and I were Thanksgiving 'ragamuffins' in what is now called the Midwood section of Brooklyn — we called it simply Flatbush then — beginning in the early 1930's. We had it on excellent authority — our parents' — that Thanksgiving begging dated to well before World War I. They had, in fact, participated themselves in the Fort Greene section of Brooklyn. Based upon our first-hand information, we believe the custom of Thanksgiving begging started no later than the beginning of the century, at least in Brooklyn, where most good things began anyway."
According to this article, "Ragamuffin parades, which harkened back to European traditions, were a chance for the poorer immigrants of New York to march through the streets in extravagant costumes, begging for change. Popular myth would have us believe that the Macy's Thanksgiving Day Parade originated in a similar fashion. Macy's itself supports the belief that its parade began as a spontaneous decision by immigrant store employees wishing to celebrate their newfound Americanness with a European-style parade." Of course, the idea really came from store executives.