Georgia Day is the holiday which the U.S. state of Georgia recognizes in honor of its colonial founding as the Province of Georgia, a penal colony. On February 12, 1733, James Oglethorpe landed the first settlers in the HMS Anne , at what was to become Georgia's first city (and later the first state capital), Savannah. It is not a public holiday, but is mainly observed in schools and by some local civic groups for its historic importance to the state.