What is? Shared cultural ancestry between the people speaking early Sanskrit and many of their European counterparts is common knowledge at least since the 19th century, it's very well researched and not really contested at this point.
The more important point is that once the cultures diverged into different geographies, they came into contact with other cultures with their own realities/stories which were incorporated into Sanskrit literature and handed down orally while a similar thing did not happen with the others to the same extent.