Difficult question to answer. Really depends on your life situation, I suspect. If you’re young with no kids, I think it could be a financially very sensible decision - that was certainly the consensus back at the time when I went to University (at the turn of the century). Once you start adding permanent housing, dependents (family - free daycare, education, healthcare) and especially as you get older (with the mostly inevitably risk of higher healthcare costs), the equation becomes a lot more blurry. I suspect you’d still come out ahead in the US in terms of disposable income, but you’d have a much higher risk of unexpected costs wiping out your advantage.
It also depends a lot on what factors into quality of life for the individual. Is having a big car, boat or a big house things which you need to be happy? I know some people like that - and having that kind of need is extremely expensive in Scandinavia. On the other hand, a work week here really is 37-40 hours/week (not the 45-50 hours work week I encountered in the US for the same jobs) + you get 5-6 weeks of paid vacation + full pay sick leave up to 22 weeks (and pretty OK compensation after for several years, IIRC) + 1 year guaranteed paid maternity leave (shared between the parents) + most people live close to their work (i.e., short commutes) – the work-life balance calculus is just a very different beast in Denmark as compared to the US, at least in my experience. Denmark tends to top “Happiest People in the World” lists (and hasn’t been out of Top-3 in forever), so it’s obviously the right solution for Danes, but not everyone will necessarily think so.