The Swedish policy of non-alignment in peace and neutrality in war was the result of a long period of being dragged into wars it could not afford and could not benefit from.

Jean-Baptiste Bernadotte (as Swedish crown prince Karl Johan and then King Karl XIV Johan) started the outspoken policy after acquiring Norway after a short campaign 1814.

Sweden had been either under French or Russian thumb during the "era of freedom" (ie lack of royal power and tremendous corruption among the ruling nobility) and had to go to war on French instigation 1741 and 1757, both of which netted Sweden absolutely nothing. Sweden had been under French thumb for parts of the 17th century, with the French paying for Swedish warfare on the continent and making perace without consulting Sweden (treating Sweden as a client state). The fact that the alliance against Napoleon had netted Sweden the loss of Finland (which had been part of the Kingdom since the 1200s) further increased the resentment against any allegiance.

Sweden also got lucky in another way. Denmark was completely devastated by the Napoleonic Wars, losing her entire navy and Norway in the process, but gaining parts in Northern Germany. Not only did that deprieve Denmark of an ability to fight Sweden (with no navy and no base in Norway to launch a land-based invasion from), it also put it at odds with Prussia and Austria as it sought to integrate its German holdings formally into the nation of Denmark and have them leave the German Confederation (this would cause the 1848 and 1864 wars with Prussia and Austria).

Thus Denmark, the arch-enemy of Sweden was substantially weakened and focused southwards rather than towards regain what they had lost to Sweden.

At the same time, Russia, the other arch-enemy of Sweden had gained all it wanted and more from Sweden - Estonia, Livonia, Ingria, Kexholm in 1721, then Nyslott 1743 and finally all of Finland 1809. The original target of the Russian campaign in Finland 1808-09 had been to force Sweden into the Continental System at the instigation of France and gain Sveaborg, the greatest fortress of northern Europe, and possibly the world at the time (they viewed it as the perfect outer defence of Saint Petersburg.

Russia thus desired no further territory from Sweden and the new Swedish policy of non-alignement suited the Russians fine.

Academic, noble/royalty and economical ties were close with Germany, and relations were for the most part excellent during the 19th century.

Sweden did dabble with supporting Denmark against Prussia and Austria and sent volunteers to guard some of the Danish islands, so that the Danes could move more forces to the south, but to no avail. The Prussians and Austrians lacked the ability to land on the Danish islands and peace was made before any Swedish forces were involved.

There was also some revanchism to regain Finland, but the Finns themselves rather quickly started to form their own national identity (with the quote "We can no longer be Swedes, we do not desire to be Russian, let us be Finns") and wanted independence, not a return to Swedish rule.

The end of the Union with Norway 1905 happened peacefully, since there was little for anyone to gain to make it a bloodbath (both the Swedish and the Norwegian armed forces had armed themselves a lot before the dissolution).

So, to take a look.

The time after the Napoleonic War was generally a peaceful time in Northern Europe. Russia was satisfied with what it had gained and had no desires on Swedish territory. Denmark was too weak to attempt to regain anything they had lost and had concerns to the south. Sweden was tired of allegiances that had not netted it anything.

Sweden was also reduced to a small country with little ability to challenge Russia and the new giant that arose to the south - the German Empire.

Sweden did dabble in helping Denmark 1848 and 1864 in the name of Scaninavism, but nothing came from it. Sweden was also interested in joining the Crimean War, but wanted a coalition with Prussia and Austria to ensure it would not bear the brunt of Russia's might and as a guarantee that Russia would not be back to retake what they lost as soon as Britain had other interests. No such coalition materialised before the Russians sued for peace.

Germany beat Denmark 1864 and thus ended Danish aspirations in Germany. Close economical, adacemic and royal ties to Germany kept relations good.

No war with Norway over the separation and dissolution of the Union 1905 meant that the peace continued.

No powers really challenged the Swedish neutrality during the First World War - the Queen and parts of the military high command and academic and economical elite wished for Sweden to join the Central Powers and declare war on Russia, but internal trouble got in the way - the fight over parliamentarism, lack of food due to Sweden following the international laws strictly and claiming the right to export food to Germany and thus ending up under the British blockade and the continued fight for freeand equal suffrage consumed the attention of Sweden.

All former Swedish territories, perhaps with the exception of the Åland islands, also had formed their own national identity and had no interests in becoming Swedish again.

The Legue of Nations settled the question of Åland after World War One, awarding it as an autonomous region to Finland.

During World War Two, Sweden made a concentrated effort to re-arm after the inter-war disarmament of 1925 and tried to become a porcupine - sharp things in all directions and too costly to invade to be worth the effort. Through some decidedly non-neutral measures, in the beginning to the benefit of the Germans, after that to the benefit of the Western Allies, Sweden made itself more useful unoccupied to most nations around it.

Sweden had some luck after World War One as well - it had a cordon of states around it. Finland, Norway, Denmark, Estonia, Latvia and Lithuania were all attacked and (except Finland) occupied, buying Sweden time to re-arm.

Bascially, it boils down to not being worth the effort to invade, having peaceful relations with the neighbours and some good luck.

Sweden followed up its imperial and expansionist period (1611-1721) - which ended with the defeat in the Great Northern War and the death of Charles XII - with a lot of internal strife, political confusion, a brief change from absolute monarchy to a parlimentary system back to absolute monarchy again (a parlimentary system meddled in by foreign states), the assassination of one king, several disastrous wars against Russia resulting in the loss of Finland (on top of all the Baltic territories they'd lost in the Greath Northern War), the forced abdication of Gustav IV Adolf after that loss of Finland, the crowning of a French officer as king of Sweden, etc.

The late 19th/early 20th century also saw a failing economy, internal squabble regarding how the military should be structured, the dissolution of the Sweden-Norway union, etc - all of it leading to a shift from an aggressive foreign policy to a more defensive one. There HAVE been military engagements since 1814, but they have not been formally declared wars. Also, the fact that Sweden shared a land border with Russia, and had Germany to the south across the water, during WWI caused them to declare a careful neutrality - a policy they more or less have kept up since.

TL; DR - internal strife, shifts in political power, several disastrous wars and changes in the European geo-political landscape all contributed to Sweden's neutrality in military matters.