Most holidays have their origin in historical events of significance to the nation. Labor Day was originally set aside to give American workers a paid day to participate in Labor rallies and parades in the late 19th century when working conditions around the world in the wake of the Industrial Revolution were abysmal. Follow the history in the links:
The Haymarket Riot took place at the beginning of May in 1886, and many sources cite it as the inspiration for May Day parades worldwide celebrating worker solidarity.
“American labor unions, recognizing the communist effort to exploit May Day worldwide as well as the communist effort to penetrate and control labor, refused to follow the Marxist-led Second International and instead have traditionally celebrated Labor Day in September.” History of May Day at The New American