I noticed you posted this a few weeks ago, but never received an adequate answer. I'll speak mostly to Norway and a bit Denmark, I think you can get a good answer from /u/kieslowskifan in this thread on Sweden: https://www.reddit.com/r/AskHistorians/comments/836cr1/why_is_sweden_not_part_of_nato_is_it_to_protect/

​

After Norway's invasion and occupation in April 1940, the government in exile, in London at the time, began to rethink their traditional neutrality. In WWI, they were already called a "neutral ally," as they had a clear preference for Britain and her allies, but in WWII, the belief in neutrality had led to invasion and occupation by Nazi forces. The government, as early as December 1940, became convinced that only an Atlantic policy would have a chance of keeping a smaller nation such as Norway safe.

​

When the war ended in 1945, Norway was split between wanting to steer clear of "bloc" politics, and hoping to receive some sort of military aid from the West in order to defend itself. Norwegians were also grateful to the USSR for liberating part of their territory and quickly and peacefully leaving. But pressure from the Soviets to remain completely neutral also worried Norwegian politicans. A proposal by Sweden to form a non-aligned, neutral "Nordic Defense Union," was met with considerable interest in Denmark and Norway. But Sweden asserted that such a bloc would need to be disconnected from the Western powers in order not to aleniate the Soviets. Norway and Denmark preferred neutrality, but with close trade and economic connection to the West.

​

One of the major turning points, for both Norway and Denmark, was Czechoslovakia 1948. Prague was seen as a "brotherly" country, one which could also sit between East and West and bridge the divide. When a Soviet backed coup overthrew the government there, it had a chilling affect across Europe, especially in Norway and Denmark. A few months later, Finland signed a Treaty of Friendship with the USSR, which would compel them to aid each other in the event of German and German-Allied aggression (I've seen it written that this was truly directed at the USA, with "german-allied" as a stand-in). You can see in Oral Histories that both Halvard Lange (Norway Foreign Min) and Thorkil Kristensen (Danish Econ Min) mention this moment as a turning point: If it could happen to the Czechs, it could happen to them.

​

The talks for the Nordic Union eventually broke down (in early 1949), as Sweden would only accept strict neutrality, and Norway would only accept a Union with some external security guarantee. Both Norway and Denmark signed on to the North Atlantic Treaty only several months later (April 1949). Sweden remained neutral throughout the Cold War, but with increasingly closer cooperation (see the reddit linked post above).

​

Some Sources:

Truman Library Oral Histories: https://www.trumanlibrary.org/oralhist/oral_his.htm

I would recommend Lange's, Kristensen's but also Theodore Achilles' oral history.

​

Achilles, Theodore. Fingerprints on History. 1992.

​

Prebensen, Chris. Norway and NATO. 1974.