1550s, "pleasing to the mind," also "full of gratitude, disposed to repay favors bestowed," from obsolete adjective grate "agreeable, pleasant," from Latin gratus "pleasing" (from suffixed form of PIE root *gwere- (2) "to favor"). "A most unusual formation" [Weekley]. A rare, irregular case of English using -ful to make an adjective from an adjective (the only other one I can find is direful "characterized by or fraught with something dreadful," 1580s). Related: Gratefully (1540s); gratefulness.
Grateful often expresses the feeling and the readiness to manifest the feeling by acts, even a long time after the rendering of the favor; thankful refers rather to the immediate acknowledgment of the favor by words. [Century Dictionary]