At different times! Screw threads were introduced as a twist in nails used to hold the stock on to a gun. The idea was to make it less likely for the nail to shake loose under the shock of firing. This is why a hammer is sometimes known as a "Manchester driver" in the British building trade: at one time Manchester was a centre of the building industry. The disadvantage was that it was now more difficult to get the nail out, so a cross-cut head was introduced, leading to the invention of the screw-driver initially for getting the nail out. These later became used for replacing the screw, and the right-hand twist was preferred as it is the easier direction for a right-handed person to exert most torque.

What we would normally think of as bolts came surprisingly early. The earliest example that I know of is the Sheldonian Theatre in Oxford, built 1664-1668, the upper part of which is held together by very large bolts - which are right-handed (i.e. clockwise to tighten, as you say). At this time the threads were of square section and were welded on rather than being cut with a die. This is just the earliest that I can find, but a contemporary account refers to it being held together with iron plates and bolts - clearly the terminology was already familiar by then.

Relatedly, why is it that people tend to measure whether you're turning a screw "right" from the top of the screw? After all, if you look at the movement with the bottom as the reference point, it's actually turning left.