The first balloon to appear in the Macy's Thanksgiving Day parade was Felix the Cat in 1927. Felix took the place of live animals that had appeared in the previous parades.
The first year the Felix was in the parade, he was filled with air, but the next year the balloons began to be filled with helium to help them float. During this time period balloons where made of a rubber material instead of the thinner and lighter material used today. The balloons used to be released after the parade, the first year because there was no plan on how to deflate Felix; in following years, it was done to drive publicity, but the balloons got blown out to sea or destroyed, so the practice stopped.