Are the words Thanksgiving day capitalized in a sentence?

Anytime you are referring to the holiday or the tradition, Thanksgiving and Thanksgiving Day are always capitalized.

Examples:

Will you be working the Thanksgiving Day holiday? I bought a Thanksgiving floral arrangement for my mother.

There are a few instances when the Word thanksgiving is not capitalized. If the use does not refer to the holiday or the Thanksgiving tradition, it is not capitalized.

For example:

Will you please offer a prayer of thanksgiving?