If you're using the Android 5 app: Try pressing refresh and waiting for the calendar to sync if you've just opened calendar for the first time... I had that problem.
However, because I was impatient, I added "Christian Holidays" to the "Holidays" calendar in "more" (Settings -> Holidays -> Add religious holidays)... not sure if that was needed though for the calendar to sync. However, next time I opened the app all the holidays had been added.