The idea of parading around in costumes and asking for goodies has been around in North America for two centuries.
Except it used to be on Thanksgiving.
In 1897, the Los Angeles Times reported that Thanksgiving was the busiest time of the year for manufacturers of false faces.
Kids in masks actually went around asking adults: Anything for Thanksgiving. According to Atlas Obscura, the adults would then pony up some candy.
By the 1930s the whole masked bandit routine was firmly transferred to Halloween. And there it stays.