The original celebration of Labor Day was May 1st, commemorating those workers killed in Chicago's Haymarket demonstrations for the 8-hour work day on May 1, 1886. Most countries around the world still celebrate Labor Day on May 1. But not the United States even though the origins of labor day started here. So what happened? Why does the US now celebrate labor day on the first Monday in September? You can thank Grover Cleveland for that. And the massacre during the Pullman strike of 1894.