Consider that African megafauna have co-existed with early hominids and eventually humans for millions of years. They may have simply adapted to human predation successfully enough to survive, as one factor.
Whereas in North America and elsewhere you have the sudden (on the evolutionary time scale) arrival of Homo Sapiens who are likely already very skilled and advanced hunters among a population of prey animals that have never experienced such a predator.
It’s also possible that in tandem, climate change was less severe in Africa than elsewhere over the last 50k years.