The Progressive Movement is not really a democracy movement, if you are defining democracy as a political system. Some would even say it was anti-democratic because it fostered the creation of a welfare state. Big government is generally seen as the opposite of democracy because a concentration of power at the federal level reduces personal liberty.
If you are using democracy in the generic sense, referring to the United States, then I would agree it was one of the most important movements in our nation’s history. The Progressive Era successfully attacked two egregious problems that existed in late 19th century America: unfair working conditions and corrupt politicians. Both problems were dealt with successfully.
Europe did not have the same experience as the United States. There was no corrupt political system to fix and solutions to the problem of worker exploitation were implemented much earlier. For example, Germany put a national health care system into place in 1883.