Denmark, Norway, Sweden, and Switzerland all have one VERY key thing in common.
They are all small.
Sweden is the largest of the three coming at a quite puny 9.5 million residents. 9-10 (depending on which counts used) US states are larger by themselves. Three US metro areas are larger by themselves.
This facilitates social democracy in numerous ways.
First, it's far easier to agree on something when you only have a small group of people.
Second, people are far more likely to give up parts of themselves to benefit their local community than the broader community. Many US states have fairly social governmental systems in places because a Washingtonian is far more willing to give up something for Washington than for Texas, or New York, or Tennessee.
One other thing these countries have in common is a relatively homogenous geography and people. When most people live similarly it;s very easy to see th benefits of providng uniform and communal support. In the US where different regions live very different lifestyles it becomes much more difficult to slap a one size fits all solution.
In the US these geographical differences over a couple cenuries have created strong cultural differences. In the Southeast you have a very religious, sedentary, and extremely individualist culture. In the Northwest you have a far less religious, very active, communal, and world conscious (annoyingly so) culture. Try getting these two regions to agree on something... I dare you.