The closest thing Europe got to a plague from the Americas was syphillys, but it cannot quite count as a plague, as the transmission of the bacterium responsible for it is through sexual intercourse. This type of transmission is much less efficient than saliva droplets, which is the way the flu (or the common cold, or the coronavirus as of right now) is transmitted, and why it is so infectious.

However, syphillys did have an important prevalence in Europe, though not to the point of being a plague. Syphillys came to Europe through the Columbian exchange. Let's keep in mind that a lot of the people that went to the Indies in the earliest of times were sailors and seafarers, especially from Andalusia, but there was also a significant number of soldiers. Soldiers and sailors are the perfect way of spreading sexually transmitted diseases: they travel a lot, and they frequent a number of women, most notably prostitutes. In the case of sailors, popular wisdom says, and not without a basis, that they have a girl in each port. This leads to many seafarers frequenting the same woman at a certain point, which results in the fact that if one has the bacterium, he will give to the woman, who will give it to another man, who will eventually pass it on to other women, so on and so forth.

When king Charles VIII of France invaded the Kingdom of Naples in the last years of the XV century, his armies encountered syphillys there. The Kingdom of Naples had, for the past century, had a strong connection with the Crown of Aragon, and had been ruled by the Aragonese kings at different points. Sicily, adjacent to the Kingdom of Naples was a possession of the Crown of Aragon.

After the marriage of Ferdinand of Aragon to Isabella of Castile, the links to Naples extended to the Crown of Castile, with many Castilian troops taking part in the Neapolitan wars. One such example is Vicente Yáñez Pinzón, who had taken part as a captain in the first Columbian journey (1492-1493). Pinzón received a royal command in 1495 ordering him to be with his ship (and crew) in Tortosa or Barcelona as of January 1st 1496 in order to transport supplies and cash to the troops stationed in Sicily. His crew was mostly from Palos, a place described by Angelo Trevisan as "un villazo ove non si trovan salvo che marinari et homini pratichi di quel viazo del Columbo" (a village where there are only seafarers and experienced men from Columbus' voyage). This is a very likely vector for syphillys to arrive in Sicily, and from there to Naples.

This is the closest Europe got to a plague from America, but still begs the question on why the Europeans did not catch any actual plagues, and the answer is that there was no such thing in preColumbian America. Plagues come from domesticated animals, and those are and were to be found in abundance in Europe, but not in America. In America there were no cows from where cow pox could jump species and become smallpox, there were no pigs from which swine flu could jump and turn into something more devastating to humans, no chickens from which chicken pox could pass on to humans, and so on and so forth.

There were no plagues as we know them, but the closest thing there was turned out to be devastating enough.