If you measure their tax base as percentage of their total GDP, you'll be surprised at how small government in those countries are. For instance, by that measure, France has the biggest government of the OECD: https://data.oecd.org/tax/tax-revenue.htm
Your link indicates that in 2016 (most recent year with full data, although seems fairly constant since 2000) the tax revenue of Denmark (45.51% of GDP), Sweden (42.57%), Finland (42.68%) and Norway (41.46%) were almost double that of the US (24.07%).
(Although I don't like including Norway in such comparisons, as it's tiny population and huge oil wealth makes it a big outlier.)