Parade-goers under clear blue skies watched marching bands, performers, floats and inflatables head from Central Park to Midtown Manhattan.
Some 5,000 people affected by October’s deadly storm Sandy were given seats along the parade route.
Thanksgiving Day celebrates the harvest and blessings of the past year.
It has been marked for hundreds of years, and is generally thought to commemorate a 1621 harvest feast the US Pilgrims shared with Indians after settling at Plymouth, in what is now Massachusetts.
Many people in New York and New Jersey have seen their homes destroyed
The modern festival sees millions of people travel to be with family, eat turkey feasts, watch NFL football matches and – in recent years – plan and sometimes even begin their assault on the holiday sales.
As many as 43 million people are thought to be travelling over this year’s holiday, with more on the move by car and train than ever before.
More US stores are opening than ever before, luring shoppers in with bargains even before the traditional start of the festive shopping season on “Black Friday”.
The Macy’s parade in New York began 09:00 (14:00 GMT) on the western edge of Central Park at 77th St.
Some parade-goers had camped out to get a good spot, staying snug in sleeping bags until the morning sun warmed the streets. Others came well-prepared with folding chairs.
They watched as the early line up began to wend its way towards Macy’s department store on Herald Square, some 43 blocks to the south.
Giant inflatables soon stretched the length of 6th Avenue, with appearances expected from Thomas the Tank Engine, Papa Smurf, a new version of Hello Kitty, Buzz Lightyear, Sailor Mickey Mouse and the Pillsbury Doughboy.
Singer Carly Rae Jepsen and US X-Factor singer Rachel Crow were among the performers.
President Obama pardons Cobbler the turkey
An estimated 50 million people watch the parade on TV each year, according to the Associated Press, with more than three million on the streets of New York.
Chicago, Philadelphia and Detroit also held parades.
Meanwhile, in storm-hit areas of New York and New Jersey, thousands of people endured a muted Thanksgiving amid the wreckage of their homes and communities.
Relief efforts are ongoing, with Occupy Sandy – an offshoot of the Occupy Wall Street movement – hosting a Thanksgiving dinner in lower Manhattan.
In both New York and New Jersey, thousands of people remain unable to return to their homes, staying instead with friends, family or in shelters.
On Wednesday, the great Thanksgiving travel getaway saw tens of millions of Americans make their way to family and friends in time for the holiday.
There were flight delays in Chicago and poor weather in the Pacific Northwest, as well as union strike action at Los Angeles International airport.
In New York, all service from the city’s busy Penn Station was suspended during the evening peak period after a power failure.
Thousands of people were locked out of the station when officials closed the doors in an effort to prevent overcrowding.
President Barack Obama carried out the traditional US presidential duty for Thanksgiving: pardoning a turkey.
“Tomorrow, in the company of friends and loved ones, we will celebrate a uniquely American holiday,” Mr Obama said on Wednesday.
Since taking office, he has created his own custom of sparing an extra turkey.
This year, Mr Obama showed mercy on Cobbler and Gobbler, who will live out their days on George Washington’s estate in Mount Vernon, Virginia.
Forty-six million other turkeys will not be so lucky – that is how many of the birds are expected to be consumed across the US on Thursday.