Prior to slavery practiced in the US, people left Europe because they were persecuted for their religion.
Some did. Others left Europe because they weren't permitted to persecute people for their religion, so they established their own little puritan colony where they could persecute away to their hearts content.
The Plymouth colony, and the Massachusetts Bay colony into which it was later absorbed, was a bastion of religious intolerance, explicitly and deliberately founded as a refuge from the religious freedoms imposed upon the "pilgrim fathers" in Europe.
The most numerous wave of Europeans who tried to flee European intolerance to settle in the USA were the Jews, in the early twentieth century. The US authorities put a huge amount of effort into preventing most of those who wanted to migrate from doing so.
The USA as a bastion of religious freedom is a very popular ahistorical myth; That so many Americans genuinely believe it is a searing indictment of your educational system.