From a series entitled
Pres. Roosevelt Enroute To Warm Springs Ga. For Thanksgiving by Margaret Bourke-White, 1938.
It was the next year, in 1939 that
FDR moved Thanksgiving to the second-to-last Thursday of the month under pressure from retailers (who believed no one shopped for Christmas till after Thanksgiving, so can you please Mr. President move Turkeyday a bit earlier...). The calendar printers didn't like that too well... It was then resolved to make Thanksgiving the 4th Thursday (not the last Thursday).
wiki tells me that Bourke-White was the first female photo-journalist hired to shoot for LIFE magazine.
If you hit the jump to see the full set, it is noticable that you barely see FDR in any of the shots, more the hardscrabble crowd.