In the beginning of the reign of William III. a rumour ran that the French and Irish Papists had landed; a terrible panic ensued, and the people betook themselves to the country, running for their lives. Joseph Perry says: “I was dismally affrighted the day called Running Thursday. It was that day the report reached our town, and I expected to be killed” (his Life). The day in question was Thursday, Dec. 13, 1688.
Source: Dictionary of Phrase and Fable, E. Cobham Brewer, 1894