In the 1920s, Macy's had many employees who were first generation immigrants. Initially, the annual Thanksgiving parade was held in Newark, New Jersey but in 1924 it was shifted from the Bamberger department store to Macy's in New York City. The immigrants combined the US holiday with European-style parades.
The first Macy's parade included lavish costumes, floats, bands and animals from the Central Park Zoo. Santa Claus, as he does today, brought in the end of the parade at Herald Square. The parade was such a success that Macy's made it an annual event.
In 1927, the first balloon, Felix the Cat, was introduced by Anthony Sarg, a German-American marionette maker. This began the tradition of large balloons in the parade. The parade was only suspended during World War II because of wartime needs.