Maybe I don't know what the definition of "Western" countries is but if there's one thing that seems common to me across them it's Christianity. Every western country I've been to is full of churches.
There's clearly a lot of thought influenced by those churches. It wasn't until I moved to the other side of the world did I have the experience of cultures not nearly as influenced by Christian thought.
I don't have concrete examples of the top of my head but I've read academic papers trying to put forth ideas about universal human behavior that clearly have never lived outside a Christian influenced culture. Even if the author was atheist they didn't seem to notice how those influences shaped their conclusions.
Try looking at how missionary shape south America and Africa... I bet they are not "western" countries, also in Europe "church" power vary from country to country, for instance in France it have both little presence and power, in Spain or Italy have far more presence and power.
Christianity itself steal many aspect of ancient religions from Egyptian one to Celtic and Romans one. Just as an example in ex-Celtic area of Europe christmas symbol's are mostly ex-celtic like "decorated fir tree", santa claus (a male dressed with heavy winter clothes red because of the blood of animals he have killed being a hunter), a big wooden log to be burning in the night etc. In ex Viking part of EU santa claus is a female with more "Viking" dress, in the southern christmas nativity scene are far more common while still remain winter/snowy scene certainly not possible in ancient Lebanon etc.
Substantially all Christianity events Christmas, all saints, Easter etc are Celtic or Roman or Greek events. Think only about our time measure: ancient Roman count days starting with "ora prima" (first hour) in the morning, Celts use midnight as we use today (an ancient Roman phrase "the Celts are a strange population that count days starting from the nights").
Religions are political means to subjugate populations so their history mostly follow political/military history of the world.
Christianity spread far far more than just "Western" countries, just have a look at Africa or South America, you even have a lot of Christians in Asia. There's probably more christians outside the West than in it.
There's clearly a lot of thought influenced by those churches. It wasn't until I moved to the other side of the world did I have the experience of cultures not nearly as influenced by Christian thought.
I don't have concrete examples of the top of my head but I've read academic papers trying to put forth ideas about universal human behavior that clearly have never lived outside a Christian influenced culture. Even if the author was atheist they didn't seem to notice how those influences shaped their conclusions.