On Windows, since the vendors control the drivers, they can ship out new hardware support immediately.

On Linux, if the driver is mainlined, it's tied to your kernel. So if you have a really new graphics card you might need a new kernel also. If your preferred distro isn't Arch or Fedora (which have very up-to-date kernels), that might also be an issue. Debian Stable for instance might not have support for a new graphics card.