The Macy’s Thanksgiving Day Parade in New York City has captivated audiences since its inception in 1924. Even amidst lackluster consumer spending and a global recession, this year’s 84th annual parade is expected to draw a crowd of three million.

Although recent parades closely resemble a Disney extravaganza—commanding 15 giant balloons and 43 smaller ones, 27 floats, 1600 cheerleaders and performers, 800 clowns, 12 marching bands, and a number of celebrity performers—the parade originated from much humbler origins. Initially put together by the department store employees as a Christmas Day event,...