The couple previously celebrated the holiday in October.
"We are actually having our Thanksgiving today, right now," Stefani said in a video, which featured her and Shelton seated around a beautifully decorated table and drinking wine.
"Then we are going to be live on The Voice tomorrow, which is crazy!" Stefani added, referencing the competitions series' first live episode on Monday.
"We had an early Thanksgiving, so it’s just been a lot of fun being out here," Stefani said on Hoda & Jenna. "We had, like, 14 different celebrations last night and had to pile them all together so we could fit it all in."
"It was really good. I made my first pumpkin pie, ever. My mom always does it," she continued. "I’m like, 'Oh my gosh, I’m graduating onto the next level.' I actually didn’t panic. It was actually really fun."
Just a few days after their early Thanksgiving celebration, Shelton popped the question. A source later told ET that Shelton knew it was the right time to propose after he and Stefani were able to spend so much time together during COVID-19.
"During the pandemic, they’ve had lots of downtime together and he truly saw the importance of spending life with the person you love," the source said. "Gwen takes marriage very seriously and was disappointed that her first marriage [to Gavin Rossdale] didn’t work out. She wasn't in a hurry because she wanted to ensure Blake was ready."
"... They have lived like a married couple for so long," the source added. "Those closest to them already saw them as 'married' but now they are finally making it official and their family is excited by the announcement."