The Library of Congress describes the first Labor Day and the history behind it in the following way,
On September 5, 1882, some 10,000 workers assembled in New York City to participate in America’s first Labor Day parade. After marching from City Hall, past reviewing stands in Union Square, and then uptown to 42nd Street, the workers and their families gathered in Wendel’s Elm Park for a picnic, concert, and speeches. This first Labor Day celebration was eagerly organized and executed by New York’s Central Labor Union, an umbrella group made up of representatives from many local unions. Debate continues to this day as to who originated the idea of a workers’ holiday, but it definitely emerged from the ranks of organized labor at a time when they wanted to demonstrate the strength of their burgeoning movement and inspire improvements in their working conditions.
Source: Library of Congress