Whacking Great Plot Hole.
According to J.K. Rowling, the reason Harry Potter sees the thestrals that pull the Hogwarts' carriages for the first time in Order of the Phoenix is because he saw Cedric die near the end of the previous school year.
What I would like to know is why Harry never saw the creatures in Prisoner of Azkaban or Goblet of Fire. After all, he saw death when he was fifteen months old and Voldemort killed his mother, Lily Potter née Evans, right in front of him.
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