Before trick or treating on Halloween was a thing, kids had a very similar past time - a month later. To coincide with Thanksgiving, kids would go "Thanksgiving masking." Similar to Halloween, this involved kids dressing up in hideous, featureless costumes and begging candies and pennies off neighbors.
The origins of masking are a little vague, but it seems to be inspired by poor and homeless who went door-to-door, looking for handouts. By the end of the 19th century, masking was common amongst New York children, and at the turn of the century, shopkeepers profited by commercializing, selling candies and cheap, featureless masks. Despite this, it seems that the practice of masking was discouraged, as it was deemed "unsavory." As the century wore on, Halloween gained in popularity and trick or treating became a regular tradition around 1915 or so. As such, Thanksgiving masking faded. By about 1940, Thanksgiving masking was a thing of the past.
So now that you know the history, check out some of the unsavory, unsettling, and unforgettable costumes that these maskers donned: