Doing a search I found the same question was asked this time last year and in 2001. In 2001 LostinMadrid ended up going to TGIFridays at Bernabeau for a Thanksgiving lunch. There was also a post for the Bluefish Cafe-Bar doing a Thanksgiving dinner with all the trimmings and gave an address in Malasana and phone numbers for reservations. Don't know whether it is still in existence, and if so, if they plan to do it again. I remember from my four recent Thanksgivings in Madrid that Alfredo's Bar-b-que near Retiro and maybe the one near Plaza Cuzco advertised Thanksgiving meals. Also don't know if they still do.