I read it in the early-to-mid-Seventies. It took place on a planet recently colonized by humanity. A little kid colonist gets to know, and strikes up an unlikely friendship with, one of the locals, a giant sentient jellyfish-like-thing. It’s late December by the Earth calendar, and the kid explains Christmas to the alien, who’s very impressed. The kid gives the alien a little toy solder as a present (shades of Hans Christian Andersen?). The alien soon learns that a local predator is going to attack the Earth colony. Because of the lesson of Christmas (awwwww), the alien sacrifices himself to stop the predator.
Sounds pretty damned stupid as I explain it here, relying on my very vague memories, but I remember being oddly moved by it at the time. Of course, I was younger then.
No idea if this is the right story but it appears to have an alien jellyfish and a little boy and takes place at Christmas: “The Christmas Present” by Gordon R. Dickson. I can’t find much more than a brief description of it but how many alien jellyfish Christmas stories can there be? The alien is apparently named Harvey if that helps.
This is it - thanks! Got it from the library in the short story collection Christmas on Ganymede, ed. by Martin H. Greenberg (Avon 1990). It was much as I remembered it, except that:
the jellyfish (indeed named Harvey by the colonists) was much smaller, even being able to perch on the arm of the little boy
the boy gave him a toy astronaut, not a solider
the jellyfish actually went looking for the predator