In the U.S., the last (or fourth) Thursday of November was declared a national day of thanksgiving. It's been this way for a long time.
The phenomenon of Black Friday has gained traction much more recently as Christmas has become more commercialized.
I can remember (I think it was about 25 years ago), when I heard for the first time that the Friday following Thanksgiving Day had become the single biggest shopping day in the U.S. (Evidently, more and more families thought a day of shopping seemed like a good follow-up to a day of feasting.) I first heard this fact from my sister-in-law, who announced it as novel bit of trivia. I don't recall hearing that day called Black Friday, though, until relatively recently - with "black" referring to accounting sense of the word.
I make this distinction between the longstanding tradition of Thanksgiving vs. the relatively recent phenomenon of Black Friday because of your opening remark:
In the Western countries like USA and Canada, there is a shopping fest(festival) called Black Friday, I wonder why the word 'black' is added to it?
Even more recently, Black Friday is followed by Small Business Saturday (where consumers are encouraged to buy from smaller local stores, rather than "big box" chain stores) and Cyber Monday (where office workers allegedly continue their holiday expenditures by shopping on-line using their work computers). Really, though, these nicknames all seem to be driven by the commercial sector, with retailers using cutthroat gimmicks as they compete for consumer dollars. So, this isn't really an official, long-established festival, but more like a recent phenomenon. Only time will tell if these terms will stay entrenched, or be replaced down the road.