This is actually a huge question - because you're asking about a lot of different countries and over a really rich period of time that is unlike the modern one in terms of religion, borders, etc.

Just for instance, there were pretty sizable Lutheran movements and influential theologians out of what is today Poland, Romania, Hungary, Czechia, Slovakia, Croatia, and beyond. But there were also Reformed movements and influential theologians who had their own work in France, the Netherlands, Switzerland, Belgium, many German states, and more. These are diverse settings, with diverse people. So there is no simple answer.

But one particularly cornerstone moment was the establishment of "cuius regio, eieus religio" after the Smacaldic War. This outlawed or at least worked against Lutheranism in many realms while letting it stay legal in others. The Peace of Westphalia later legalized Calvinism. Remember - German Protestantism is about 60% Lutheran 40% Reformed, and the numbers between Protestant and Catholic are close. In the meantime, Calvinism found a safe haven in parts of the de facto independent Swiss Confederacy, namely Geneva, where they could publish texts and train pastors and theologians. The Holy Roman Empire managed to stay Roman Catholic in the majority of its lands due to the power of its princes to establish religion, the isolation of Lutheranism to smaller parts of the Empire, the emerging legality and influence of Calvinism, and the intensification of infighting among Protestants.

But as for why Denmark-Norway and Sweden managed to become and stay Lutheran? Well, geographically they were well isolated from Roman power - the HRE, Spain, or France would have to get through a lot of unfriendly territory in order to even begin to pose a threat to any of them. They also didn't have a lot of major influence on the Church, so losing them wasn't as big a deal for Rome.

Beyond this - the Kings not only managed to get rid of unfriendly bishops, while retaining formal regional church structures, but they also reached out to Wittenberg early on for advice and counsel. This meant the early Lutherans were able to send a number of their finest theologians, planners, and consultants (such as Johannes Bugenhagen of Pomerania, Luther's pastor at Wittenberg) to reform both the churches and the societies and empower other pastors and theologians who had accepted the Reformation early on.

Two books you might find helpful: Carter Lindberg's "The European Reformations" and Ken Appold's "The Reformation: A Brief History"

Your question is too big for me to answer. But what you're after is the 30 years war.

Before the war there WAS a large Protestant MAJORITY in the Czech Republic, and even a large minority in places like Austria and France.

And why that was like that, you'd have to fo even farther back. To the Hussite wars, the first real crusades against European protestants that failed.

Protestants were legitimized to some degree in those areas before Luther even showed up.

By the time of the 30 years war (1618 to 1648). Europe was already split.

Before this, the treaty of Augsburg (or one of those, I forget) in the 1550's allowed the ruler to chose the religion of the region.

So you had protestant rulers in Saxony ruling Catholics, the Hapsburg (Catholic) Austrian ruling the almost entirely protestant Czechs. Causing lots of refugees (Johannes Kepler, Tycho Brahe, John Dee, all being great examples at some point in their lives)... until the war. It was the last major religious war in Europe. It was the religious war to end all (european) religious wars (on that scale).

Then a more direct north-south split was negotiated in the treaty of whestphalia (or one of those)

And only then do we see the landscape you describe.

In short, 10% of Europe, but more like 50-70% of central Europe around Germany and Bohemia had to die for it to be like that. It was a huge war. Europe's biggest until WWI. In some areas it was far, far more deadly than WWI was (like Bohemia and Central Germany). A BIG war, is what the 30 years war was.

Now that's just scratching the surface of your ginormous question... but if you want to narrow it down a bit, or have follow ups, I can keep going.

One very important reason why reformation and, consequently, Lutheranism, spread to Sweden and Finland was because Gustav Vasa had incurred immense debts while rebelling against Danish rule and becoming the king of Sweden (which included Finland). Confiscating the property of the church was a straightforward way of improving his personal/state finances.

For context, since 1397 Sweden had been part of Danish-led Kalmar Union. By early 1500s, Swedes had however expressed their desire to leave the union, and after Danish king Christian II reacted by lopping off the heads of numerous prominent Swedes in 1520, a rebellion against Danish rule began. Gustav Vasa, son of privy councillor Erik Vasa, became the leader of the rebellion and ultimately the first hereditary king of Sweden in 1523. By reforming the church, Gustav Vasa not only gained vast wealth, but also got rid of archbishop Gustav Trolle, a supporter of Danish king Christian II. Because Trolle had the support of the pope, this was the only way to remove him from power.

Eventually in 1593, the council of Uppsala put an end to questions about which specific form of reformation would gain the upper hand by deciding that Lutheranism would be the only tolerated form of worship in the Swedish realm.

See e.g. Klinge, Matti: Katsaus Suomen historiaan (2001)

While the Northern Netherlands (what we know as the country of the Netherlands) became independent from Spain, the Southern Netherlands (modern day Belgium) remained in the hands of Spain and got to experience the contra-reformation.