The variable `org-agenda-include-diary` has likely been set by the O.P. to a non-nil value.  "*If non-nil, include in the agenda entries from the Emacs Calendar’s diary.*"

`diary-show-holidays-flag` is a variable defined in `calendar.el`.
Its [default] value is `t`.  You can customize this variable.

**Documentation**:

    Non-nil means include holidays in the diary display.
    The holidays appear in the mode line of the diary buffer, or in the
    fancy diary buffer next to the date.  This slows down the diary functions
    somewhat; setting it to nil makes the diary display faster.

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The variable `calendar-holidays` can be customized also, to add or remove holidays as needed.