The Pilgrims arrived in Massachusetts in 1620 seeking religious freedom from the Church of England. They established Plymouth colony with the help of local Native Americans, holding the first Thanksgiving in 1621. The Puritans established the Massachusetts Bay Colony in the 1630s seeking freedom from religious persecution in England. Led by John Winthrop, over 1,000 Puritans settled with the goal of creating a "city upon a hill" as an example to the world. Other colonies like Connecticut and Rhode Island were founded in the 1630s-1640s by religious dissenters seeking further separation of church and state than allowed in Massachusetts.