Will Wilkinson argues that Americans don't value the type of government spending that we get:
My sense is that, despite the U.S.’s historically relatively modest level of government spending, the composition of U.S. spending is such that U.S. taxpayers get less of value in return for their tax dollars than do taxpayers in many places with higher taxes and higher levels of government spending. Which is to say that when using GDP per capita as a proxy for welfare, the U.S. comes off better than it should relative to, say, Canada or Sweden. ...
The U.S. is an notable anomaly in the happiness data. Average self-reported life satisfaction rose with GDP per capita over the last several decades in almost all wealthy liberal democracies, but not so much in the U.S. The idea that the unusual composition of U.S. government spending gives Americans unusually poor value for their tax dollars might help explain this.
I think this is exactly wrong. Americans constantly complain about nebulous government waste, true, but they complain even more loudly whenever anyone proposes cutting anything. Wilkinson cites military spending, airport security, and education as examples of wasteful spending that make Americans unhappy. Does he think that a politician could be elected running on a platform of decreasing American military spending, cutting education, and slashing airport security? Of course not. If Americans truly didn't value those things, then this should not be so.
How this compares cross-nationally I don't know. I don't think it's implausible that different polities demand different types of government spending from their governments, but that to me that backs up my point: in democracies, the level of and composition of public expenditure is roughly what the media voter prefers. Is there any reason to expect the median voter in Canada to demand the same things as the median voter in America? Is there any reason to expect the median voter in America to be happier if the US government changed its budget to reflect Canadian preferences? Why does Wilkinson think that the French get what they want out of government spending but that Americans do not? What sort of model of politics is he using? These are not things that Wilkinson wants, of course, but his very next post is about how democracy means never getting everything you want.
I think a better explanation is that Americans do value security, military predominance, and public education very highly, and the reason why self-reported happiness is lower is because the country has had a very rough decade pretty much across the board. Terrorist attacks, two wars, a lost decade economically, increasing income inequality, rapidly deteriorating public and private finances... the naughties were hard on America, especially after the post-Cold War euphoria and economic boom of the 1990s.