Assuming we’re talking about the holiday Thanksgiving — no, it is not celebrated as a Chinese holiday.

That said, a big part of Chinese culture is respect and showing gratitude “感恩 (gǎnēn)” for what other people do, it’s just that we show it in different ways.

Direct Thanks

While many Chinese people still do not have the automatic, knee-jerk response of thanking every person for everything they do like Americans, that doesn’t mean we don’t do it! Directly thanking someone is the most basic way to show gratitude, whether accepting a gift from a business partner, acknowledging that someone cleaned up after himself, or anything else.

If someone does something for us, we say, “谢谢(xièxiè)”. There’s also “感谢! (gǎnxiè)” and “非常感谢你! (fēicháng gǎnxiè nǐ!)” — “Thank you very much!”

These are used for more formal or extreme situations where you owe someone serious gratitude.

Then we take it one step further…

“多亏(duōkuī)” means you get something because of the help or the advantage provided by someone else. “多亏了你 (duōkuīle nǐ)” can be extended to mean something like, “Thanks to your help, I can accomplish what I want to.” Much more significant than a simple, “Thank you.”

This phrase can be roughly understood as, “Without your help, it would not be the way it is.”

Here’s another: Though there’s no direct equivalent in Western culture (or the English language), it is quite common to hear in China. In China, when you make a request of a colleague even though in essence the task is his or her job, we often add a, “辛苦了(xīnkǔ le)” to express a sense of thanks and recognition of their effort.

辛苦 (xīnkǔ) means “difficult”, and “辛苦了 (xīnkǔ le) can be roughly understood as, “You are working hard”.

In addition to directly thanking someone or acknowledging their work, it also is used for courtesy and toning down the tone of speaking so that a request might not sound so demanding.

There are some more detailed examples here: How to express "Thanks" in Chinese? -eChineseLearning