"Happy Thanksgiving from us to you!" the Shakespeare in Love Oscar-winner captioned a group photo showing her and Martin, separated by about a dozen people, including their son and daughter.
Also in Thursday's image was a table laden with platters of delicious-looking food. The location of the feast was not disclosed.
Paltrow, 43, and Martin, 38, married in 2003 and announced they had split up in March 2014. They are the parents of daughter Apple, 11, and son Moses, 9.