As the various religious holidays roll around each year, often the question is asked: "How did the Pilgrims celebrate _____?" The answer is the same for all religious holidays: they didn't.
Being Separatist Christians, they believed that church holidays and rites such as Lent, Easter and Christmas were corruptions based on pagan celebrations. Funerals were graveside memorials, not a ritual. Marriage was purely a civil responsibility. They also did not believe in the use of holy water, relics, statues, or the belief in adoration of the cross, purgatory and prayers for the dead, believing that their use played on the grief and terror of those whose loved ones had died. They held that all of these smacked of superstition. There was no basis in Scripture for their existence. Conducting business, games or amusements was forbidden on the Sabbath.
For further information about the Pilgrim Church, see Robert M. Bartlett's The Pilgrim Way (Philadelphia: United Church Press, 1971) and The Faith of the Pilgrims (New York: United Church Press, 1978), and Rev. Gary L. Marks' Pilgrims Then and Now (Philadelphia: Soc. of Mayflower Descendants in the Commonwealth of PA, 2001). PA Mayflower Soc.