There are a lot of forces at play here, among others tax rates (which cause the F150 to get bigger and European cars to get lighter), fuel prices, culture (in Europe a big truck won't impress anyone, you get other types of cars for that), average and maximum distance traveled (in Europe nobody fantasizes about roadtrips), road conditions (high population density makes offroad driving less important in rural Europe than in rural America), etc
According to the International Council on Clean Transportation (ICCT), Europe averaged 46 MPG (US gallons, "normalized to CAFE test cycles") in 2015 [1], compared to something like 37 MPG in the US.
This NY Times article [2] summarizes the report, with some nice graphs.
[1] https://www.theicct.org/sites/default/files/publications/201...
[2] https://www.nytimes.com/interactive/2018/04/03/climate/us-fu...
Anecdote: several years ago, I got the lightest, smallest-engined, most-efficient car I could find here in Canada, a Toyota Yaris. And using a calculator to convert units, I see that even so, it only gets me ~40 US MPG (real world) - most because of highway speeds. When I drive mostly 80km/hr, it's about 42 US MPG. When I drive mostly 120 km/hr, it's more like 36 US MPG. The same car is sold in Japan/EU with a 1.2 litre engine, vs the 1.5 litre in North America. Similar things happen with many other models.