In 1882, Matt Maguire, a machinist, proposed Labor Day while secretary of New York’s Central Labor Union. Still, it was the Haymarket Massacre in May 1886 in Chicago that created the holiday. The Haymarket Massacre started as a protest of the death of several workers, but turned violent after someone in the crowd threw a bomb at police attempting to break up the protest. Seven police officers and four workers were killed and many others were wounded.
President Cleveland was concerned that commemorating the Haymarket Massacres would become an opportunity for renewed violence. Cleveland returned to the White House in 1892. In 1894, Cleveland was afraid of further labor violence following the deaths of workers who were killed during the Pullman Strike and he started promoting the creation of Labor Day.
A September date was selected rather than the more widespread International Workers' Day (May 1st) because President Cleveland was concerned that observance would be associated with the growing Anarchist Movement that would rally to commemorate the Haymarket Massacre.
Whatever the reason, Labor Day is the essential celebration of American workers, and a great reason to relax, barbeque, and enjoy ourselves.