Looking at the median wealth (https://en.wikipedia.org/wiki/List_of_countries_by_wealth_pe...), a median person in Spain is 3 times as "rich" then someone in Sweden and Germans or the Dutch are more "poor" than Slovaks or Greeks etc. But this is largely a result of relatively low home ownership rate in most North European countries.
However if we disregard average people and look just at the top 10% or even 1% Sweden is still Remarkably similar to the US:
Wealth Share of the top 10%/1% *
United States: 75.9% / 35.4% Sweden: 75.3% / 37.4% Netherlands: 68% / 26.6% Denmark: 66.6% / 29.3% Germany: 65.1% / 30.2% Norway: 65% / 32% United Kingdom: 59.3% / 24.5% Spain: 55% / 23.8% France: 54.6% / 22.2% ...
* according to https://www.credit-suisse.com/about-us/en/reports-research/g..., see page 168 in "Global wealth databook 2019" fro the full table
Otherwise, I would rather be wealthy in the USA.
The reason is, higher income tax means it is more difficult to become wealthy. So in countries with high income tax, the majority of wealthy people is those that inherited their wealth. Over time some wealthy people become poor, but with high income tax, even fewer become rich. This means that wealth becomes more and more concentrated among the few, which is somewhat counter-intuitive.
So in the US, wealth-mobility is greater than Denmark for example, resulting in the list on Wikipedia, where countries that are thought of as "unequal" actually are the most equal of all when it comes to wealth.
Article studying the effect: https://journals.plos.org/plosone/article?id=10.1371/journal...
The reasoning is pretty much the opposite, the redistribution of health helps to move children out of their parents wealth/social-class. It might be that an individual adult in the US is able to move from poor to wealthy more easily, but I sort of doubt it.
Generally you have a lower limit to how poor a person can be, in Scandinavia that limit is reasonably high (I sure it doesn't feel that way if you're actually poor), so I would have assumed that would level out the inequality somewhat.
Denmark in particular have also always excluded students from statistics on who's poor, because it's seen a temporary thing. So we don't see them as truly poor, even if they often are, but I suspect that they have to be included in the Gini coefficients calculation.