First, as in the US, there are large regional differences. Both between countries and inside of countries (eg Italy, UK).

But what do you mean with smaller?

Cars are much smaller, both because the infrastructure is not built for large ones and the huge US models are kind of pointless.

There are few large stores and many smaller stores instead. There are not many skyscrapers, in part due to relatively strict building regulations in the big cities.

There are only two really big metropolitan areas: London and Paris.

Also, there might be less of an interest in ostentatiousness. Bigger isn't always better.

That said, the US has a GDP per capita that's almost twice as high as the EU average. And even the most well-off countries, which had almost reached parity, have fallen behind very considerably since the 2008 financial crisis. The US economy has grown a lot since then, while the EU mostly remained stagnant.

(note that GDP/capita is a pretty bad measure, but it gives some idea)