Many PhDs in America expect you to be self-supporting, so you have to take up a loan. I believe the practice is explicitly forbidden in most European countries, so you have to earn funding before starting your research (I could be wrong on this, especially regarding the social sciences). PhDs in America also last way longer, 6+ years vs. 5 years max, generally 3 or 4 in most of Europe.

Also, and this is veering into anecdotal stuff, PhD students in Europe tend to be fresh out of university, in their early to mid twenties, and their life is still a bit of a mess in many aspects, much of it due to their being in the middle of a PhD with a close and looming deadline. Their American counterparts tend to be more stable and 'adult', have a spouse and kids, maybe partly due to the fact that they start later and take longer.

There are other aspects such as many American labs being much larger so the PI can become some sort of distant god-like figure that you hardly ever meet. Of course all of it is a huge generalization from my lived experience and that of people I know, so other people should feel free to chime in and correct what I've said.

Some things don't change though - everyone is underpaid.