Emerson wrote that "Henry David Thoreau was the last male descendant of a French ancestor who came to this country from the Isle of Guernsey," and there are still relatives of Henry in Europe today. Jean Thoreau, Henry's grandfather, arrived in America after a shipwreck, served for a time under Paul Revere, and became a merchant in Boston. Jean Anglicized his first name to John, and at some point, in an apparent attempt to Anglicize his last name, the accent was moved to the first syllable. 

Bronson Alcott noted the pronunciation of "thorough" in his journal, and Thoreau's aunt also wrote that their name is pronounced "thorough." The Concord schools teach their children that "Thoreau" rhymes with "furrow," which can be just slightly different, depending on how you pronounce "thorough," but either variation with the accented first syllable is acceptable.