Depends on which European countries you're talking about. Denmark, Finland, and Iceland have slightly cleaner air than the U.S. The rest do not.Cleaner air and water in Europe?
If you want to go by cities, the U.S. has 2 of the top 5 cities with the cleanest air in the world (Honolulu and Anchorage), while Europe has none.
Overall, if you're going to live in a fully industrialized, first-world nation, you'd be hard pressed to find a country with much cleaner air and water than the United States.