I used to think this (as a euro), then I met an American and he explained that he ended up better off in Europe on a "lower" salary because he hadn't considered the hidden costs of living in the USA.
He claimed (though I'm certainly no expert) that you have to do your own taxes and set aside money for that; he also claimed that "sales tax" had local, state and federal taxes applied, so while it varies from state to state and city to city; it generally ends up being about 18-20%, which is in-line with VAT in most Euro countries.
He made a lot of comments about certain mandatory insurances and the fact that there were no "cost saving" systems, like heavily subsidised childcare or decent enough public transport that meant you didn't have the burden of a car.
Though he said he couldn't imagine living without a car in the US, as it turns you "back into a child". (his words.)
I'm not sure, I don't know everything, but after talking with him I didn't feel bad for being a "poor euro" anymore, because while the absolute "amount" of money he earned was much greater, the amount that he could actually use was lower.
But he also never had any stock grants or anything.. and those are not incredibly common in Europe. So you could be better off anyway. Who knows?