Thanksgiving Day traditions in Texas, Kansas, and Utah around 1900, as recorded in missionary diaries, seem similar to the popular present-day model: turkey, family, gratitude, pumpkin pie. However, only two of the missionaries in this studied mentioned Thanksgiving Day; the other four missionaries with diary entries in November did not record observances, even when one of them was boarding long-term with church members. 
In 1899, while working as travelling elders, Elder Duffin and companion attended the “Thanksgiving services” of a Baptist congregation.  As Mission President, Duffin made no note of Thanksgiving in 1900, 1902, or 1904 , but recorded a “thanksgiving dinner” in both 1901 and 1903.  In 1905 Duffin had a meeting with the First Presidency in Salt Lake City; en route, “…I took train for Utah and arrived home in time to eat thanksgiving dinner with my family on Thursday.” 
In contrast to the Elders’ silence and President Duffin’s mere notations of dinner, Sister Carling provided a discussion of Thanksgiving Day. At the time she was a (semi-)traveling missionary  in Kansas:
“Nov. 28th. Thanksgiving Day 1901. While we are over one thousand miles away from home, down here in Kansas, yet we have very much for which to thank our Heavenly father.
“Here among the best of friends and surrounded by peace and plenty, are enjoying the best of health and spirits and are very happy in our work. We are gaining experiences each day that cause us to more fully appreciate our home and loved ones, and the advantages and blessings which we as young Latter Day Saints enjoy.
“Altho we are having no roast turkey and pumpkin pie dinner as we had at home, we are having a quiet, happy day in the mission field, and my head is filled with thanksgiving to my Heavenly Father for His many blessings. …” 
Note the absence of a formal dinner, even though the sisters were boarding with friends. Later Carling received newspapers from home and read descriptions of Thanksgiving observances. 
The “Southwestern States Mission” series (homepage) examines mission life in (mostly) eastern Texas around 1900.
 The relevant Thanksgiving Days are: 1899 Nov 30, 1900 Nov 29, 1901 Nov 28, 1902 Nov 27, 1903 Nov 26, 1904 Nov 24, 1905 Nov 30, and 1906 Nov 29. Diaries that include these dates but do not mention Thanksgiving Day are: Brooks: 1899, 1900 (in 1900 he’s boarding with a member family); Clark: 1900; Cluff: 1904; Folkman: 1900, 1901; Jones: 1899, 1900, 1901. Elder Forsha’s (incomplete) diary does not include a November.
 “Today being “Thanksgiving” Elder Bond and I, after visiting a number of families, attended Thanksgiving services at the Prairie Valley Baptist church. After the services, the minister W. J. McClung invited us to take dinner with him which we thankfully accepted.” (Duffin, 1899 Nov 30 Thu)
 In 1900 and 1902 Duffin was at or traveling to district conferences. Elder Clark, who attended the Thanksgiving Day conference in 1900, also failed to mention the holiday. In 1904 he did not leave day-by-day entries, but he was in El Paso, TX, with his second wife buying “household goods to fit up for housekeeping” in Colonia Juarez, Mexico (Duffin, 1904 Nov 22 Tue, Dec 03 Sat).
 “Thursday 28th being thanksgiving, I bought a nice turkey and we had thanksgiving dinner at the headquarters of the Elders” (Duffin, 1901 Nov 28 Thu); “In company with a number of the Elders and Sister Mary I. Richards, … I went to Independence and took thanksgiving dinner with Brother and Sister Andrew Himes” (1903 Nov 26 Thu).
 Duffin, 1905 Nov 30 Thu. With the visit home and the church-business meeting, he was away from the mission less than a week. Duffin mentioned Thanksgiving again on the return trip: “This evening I took train for Kansas City. The day before and on thanksgiving day, a nice snow fell.” (Duffin, 1905 Dec 5 Tue).
 By “semi-travelling” I mean that she was not at the mission office doing clerical work in daily contact with multiple other missionaries like she would be for much of the rest of her mission. But, she wasn’t “travelling” like the Elders—“without purse or scrip”—either. She had a more or less fixed place of residence, but she and companion were “in the field,” away from mission headquarters. (In other words, she and companion fit the present-day model of missionaries boarding at one place for a time and then moving to another residence in another city for a while.)
 Carling, 1901 Nov 28 Thu, p 72-73. Continuing the quoted entry: ““Sarah received a letter from her brother John, he sent her some stamps I happened to be out so she divided with me. There are things happening each day to show the nobleness of her character. ¶ The afternoon was spent in writing my essay for Mutual Sunday evening. After supper we helped sister Adams churn, wash dishes and read news papers until bed time.”
 The newspaper seems to have prompted what might have been a touch of home-longing: “After supper Elder Judd and brother Hasty consented to wash the dishes. I went in the other room and read the news paper. Found a little article from my “dear mountain home.” Brother Owen and others were spending Thanksgiving at Bp. Esplin’s. They gave a very pretty discription of our little town. Also saw that my  uncle’s store at Ogden had been broken into and about $200 beside the breaking of a $200 plate glass window. ¶ The folks in the kitchen were having a noisy time. Sister Giles said I missed half of my life by not being in there but I was not in a laughing mood.” (Carling, 1901 Dec 06 Fri, p 82-83).