Contrary to popular assumption, the first Thanksgiving Day parade—held in Philadelphia in 1920—featured no live animals whatsoever. The event, organized by Gimbels department store, consisted entirely of floats, marching bands, costumed performers, and a finale with Santa Claus arriving on a fire truck.
Macy's Thanksgiving Day Parade (started 1924 in NYC) introduced live animals in 1924-1927: bears, elephants, camels, donkeys, and other Central Park Zoo animals marched with floats. This proved problematic—animals frightened children, disrupted traffic, and created sanitation issues. By 1928, Macy's replaced live animals with the now-iconic giant helium balloons (Felix the Cat first).
The Philadelphia parade continued annually and claims the title of oldest continuous Thanksgiving parade. Macy's became the national spectacle. Neither borrowed animals from a specific source for the *first* event—Philadelphia had none; Macy's used Central Park Zoo animals for its early years.