This is a bit complicated, because it begs the question "Why did the United States become less progressive." The first thing you have to realize is that by the 1930s, relatively equal levels of 'progressiveness' existed in the two countries. The first social security programs in both countries started then, and both countries featured large scale work programs to assist the unemployed during this decade. The second wave of progressive expansion during the 1960s saw similar levels in both countries; while Canada started instituting nationalized healthcare in 1961, while the US instituted Medicare/Medicaid in 1965. At the time, both of these programs were not that far off from one another in that they were primarily about providing insurance coverage and payment support to those that couldn't afford it. In general, the 'progressive' nature of the two countries wasn't all that different in character, if slightly different in outcome and motivation.

The biggest differentiating factor between how social programs and other large government expenditures in the two countries is really one of motivation and need. What I mean by this is that, Canada, being a very large but sparsely populated country, saw additional needs that arose from those geographic facts that the United States didn't really face in the 20th century onward. For example, Canada has a rich history of government owned and operated infrastructure, primarily centred around the municpal and provincial level. Large companies like Telus owe their existence to infrastructure paid by municipal corporations and the organization of provincial ones; in the later instance BCTel and AGT, both provincial crown corporations. For much of it's history in fact, up until the 1990s, there were a huge number of crown corporations to fill these needs. As the population expanded, and particularly, governments of the 1990s were dealing with severe budget problems, these crown corps were broken up and sold off. Several continue to exist as large companies, like Canadian National (railway) or Petrocanada (owned now by Suncor). In the healthcare field, much of the original development work was done in rural provinces simply because these places had limited to no access to medical care. So, municipal cooperatives developed and these eventually morphed into what we have today (solidified in the 1984 Canada Health Act, which is the backbone for the universal healthcare system in this country). Rural provinces didn't simply move into helping promote healthcare or telecom; there were also government owned banks, of which the ATB (Alberta Treasury Branches) is the largest survivor.

So, circa 1970/1980, the US was very similar to Canada in many ways on the 'progressive' front. Programs like Affirmative Action were in full swing, Medicare seemed like it was a stepping stone to Universal healthcare (much as the same way the Canadian system had developed) and indeed, in the late 1970s you had a very progressive President by the name of Jimmy Carter doing his thing. But, in the 1980s, things began to change.

Now, it's important to note that since the late 1980s, both countries have seen a retrenchment from the progressive side that saw it's height in the 1960s and early 1970s. As I mentioned, Canada and her provinces sold off or broke up many Crown Crops, and many municipal corporations have seen likewise done to them. In my own city for example, we've seen the telephone, electricity, and now even public transit being spun off and privatized. So, we continue to mirror our southern neighbor here in many ways. However, there is one big factor in the US that isn't nearly as present here, and that is the rising strength (perhaps even dominance) of the two party system, and more specifically, the power of the Republican Party. In the 1980s the Republican Party transformed itself from a northern conservative or even moderate party to a southern conservative party, one that continues to move more to the right every year. With the big breakthrough in the 1980s to 1990s of Republican power in both the White House and Congress, you've seen a growing ability to dictate policy, and much of that energy has been directed at dismantling the systems established in the 1930s and 1960s, and particularly, towards preventing an increase in those types of programs. In Canada, our main conservative party here was for generations called the "Progressive Conservative" party, so called 'red' Tories. The dismantling of the PC party thanks their own incompetence meant that the former progressive core of the Tories was eliminated. The new Conservative Party of Canada is, in many ways, like the Republican Party of the United States now, in that it has shed it's progressives (as the Republicans did) and now fully embraced a more right-wing political slant. In both countries, this strong right/centre (as the Democratic party is for the most part a moderate or centrist party) dominates the political landscape now, with the right working to dismantle and obstruct new social programs, and the centre looking to enact modest ammendments/additions, or simply retain them. Unlike the 1930s and the 1960s, neither country has a party with broad enough support and a progressive bent to expand programs.

(As an aside, the Republican Party's sharp move to the right is often theorized to be mostly caused by the movement of large evangelical religious movements into the political arena, with the huge amounts of money and influence the leaders of those movements controlled having a big impact both on the Republican resurgence, but also their shift right).

This is a complex question that can't be easily answered in a single post, but I notice that /u/Spoonfeedme has offered an American perspective on it! I will discuss the Canadian side of it.

In some ways (especially from an American perspective in 2014) Canada is more "socially progressive" than the United States, but there are also more "conservative" elements to Canada that might go unnoticed unless you spend a lot of time here. As well, I've put these terms in quotation marks because it's less and less clear what these political badges mean anymore, as we have moved far and away from the left-right dichotomy of the political spectrum. Finally, any answer dealing with a question like this must deal with generalizations.

So, with that in mind, let's say that most Canadians are more socially progressive than most Americans. By and large, Canadians generally accept certain liberals values as intrinsic parts of our national character. We accept multiculturalism as a crucial element of our national identity. We embrace a popular memory associated with peacekeeping and being a "middle power," which means we leverage our international influence for key issues, often in between great/super powers and little ones. We accept stricter gun control laws, gay marriage, a firm separation between Church and state, and other individual rights. That is, within the Canadian constitution and thus our legal system, there are entrenched protections for individual rights.

By and large, these individual rights supersede collective rights. The individual Canadian is generally protected from the state against unreasonable search and seizure, unreasonable prison terms, the right to travel, etc. All of these are relatively recent constitutional entrenchments from the 1982 Charter of Rights and Freedoms. We will get back to this, but that's arguably what has helped nurture a more "socially progressive" country over the last three decades.

It's important to know that this distinction between Canada and America is pretty new. Let's take a moment to consider Canada pre-1960.

Canada had secured most of the trappings of an autonomous and sovereign state by 1960, but English Canada still largely embraced a "British Canadian" identity. We gained economic and political independence in 1867 when the Dominion of Canada was formed. During the First World War, the white British Dominions (Canada, Australia, New Zealand, South Africa, etc.) successfully demanded a reorganization of the Empire for their service during the conflict. In April 1917, the Imperial War Cabinet made up of members of the British Cabinet and representatives of the Dominions passed Resolution IX. That resolution asked that after the war the Dominions would be recognized as “autonomous nations of an Imperial Commonwealth” which had “an adequate voice in foreign policy and in foreign relations.” As a result, the "British Empire" was effectively replaced with the "British Commonwealth" and in turn, Canada gained control over our foreign policy in 1931 with the passing of the Statute of Westminster.

Yet despite all of this, English Canadians still embraced the legacy of their British colonial past and it is difficult to point to anything resembling popular "Canadian nationalism" until at least after 1945, if not the 1960s themselves. This identity was still defined by the founding motto of Canada: Peace, order, and good government. Though, as we are dealing with generalizations, I should note that these were not always present in Canada (in fact there were many obvious exceptions), but they serve as a useful and straightforward way to understand the sort of cultural identity adopted by Canadians at the time. Or at least, it was integrated into the stories English Canadians told about themselves.

French Canada (Quebec) at this time was also fairly conservative. From the 1930s to the 1950s, Quebec was mostly governed by a man named Maurice Duplessis, who encouraged a conservative, traditional Quebec atmosphere. Quebec (and English Canada for that matter) was still very religious, and Catholicism defined Quebec society. Unions were outlawed and liberal academics were scorned. Most Quebecois probably understood things weren't great, but neither were they agitating for change. Some did, but they were a minority during this time.

Essentially I am trying to paint a picture of Canada pre-1960 that is (small-c) conservative, which meant they accept that the state should be supported. Today conservatism is sometimes understood as anti-government movement, but I am trying to stick to a general sense of that term rather than a political one. This is not to say there weren't any dissidents (remember, generalizations) but most Canadians accepted government action without much comment. During the 1950s, we had our own "red scare" that was not as well known as the American one. Instead, the Royal Canadian Mounted Police (Canada's federal police organization) did basically whatever they wanted. They made files on people, they inserted undercover agents, tapped phones, etc., essentially without much backlash. Canadians were either ignorant of these tactics, and the government had no compulsion to publicize them, or at least accepted it as a necessary action against alleged communists and gays specifically, but basically any "dissident."

I think it's fair to say that these actions, though not well known, were at least normalized within English and French Canadian culture at the time. I offer them as an example of how the Canadian government and the Canadian people were willing to accept state intervention, or even oppression, in the name of safety. Thus, the infringement of individual rights for the sake of collective rights, and not socially progressive. There are other examples, but I think that is a good one in light of the reaction to recent events in Ottawa this month.