Until the 1950s and in some places even 70s and 80s the Reformed, Anglican and Catholic Church (depending on geography) had immense political power in Europe. You couldn’t just start or join a new church without losing your job and getting harassed if not physically abused by the clergy, parishioners and police. Moreover these churches were (and technically still are) state religions.
In the US you had government enshrine religious freedoms since its inception and state sponsored protection was well enforced in the mid-late 19th century.
Sure you get cooky cults but with the export of movies and culture after WW2, you also got your religious freedom and separation of church and state, although still not de jure in most places, you got a de facto freedom of religion.