The Nordic countries entered the Second World War reluctantly. Norway, Sweden, Denmark, Finland and Iceland were social-democratic and neutral countries before the war, but in 1939-1940 they became the battlefield between three belligerents of the world war. After the war, Finland became a soviet republic within the Soviet Union whereas the three Scandinavian countries joined together and formed the Nordic Socialist Union. The state is not a puppet of Moscow, but an important ally of the USSR and a key member of the SWR. Through the SWR Peacekeeping Mandate, the Soviet Red Army still has an important military base near Bergen in Norway, and a naval base in Iceland.
Norway became the battlefield between the Allies, the Soviets and the Germans in 1940. At the Berlin Peace Conference, the USSR annexed Northern Norway, and the south became a puzzle in Hitler's 'New Order', as did Denmark. The Norwegian front between the Germans and Soviets during the German-Soviet War, beginning in 1941, was quiet in the first years, and when the Red Army turned the tides and advanced into Eastern Europe in 1945 and in 1946, the Germans began to evacuate Norway in order to relief the giant Eastern Front.
Sweden remained strictly neutral the first half of the war. However, during the German-Soviet War, the ruling social-democratic party and the whole coalition government became increasingly divided on the subject if it'd be best to join Germany out of fear of the Soviets or vice versa. Unfortunately for the prime minister, he had to make a decision in the summer of 1946, when the USSR issued the Swedish government with an ultimatum in a similar manner as the British in 1940, demanding access to the iron deposits in Northern Sweden and military access for the Red Army to attack the Germans in Norway and Denmark. The Swedes chose to go to war to defend their neutrality and independence, but after a few weeks, the Germans carried out a long-planned tactical withdrawal from Norway altogether, leaving the country an easy pray for the Red Army. The Swedish government collapsed because of the crisis, making way for the left-wing faction of the social-democratic party joined by the communists to take over the reins and avert catastrophe.
In order to avoid sharing the fate of Finland in the Winter War, the new government agreed to Soviet demands and even offered to declare war on Germany. This clever move of realpolitik indeed saved Sweden's integrity, and the future of Scandinavia. Sweden became the first independent ally of the USSR and in 1947, the Swedish army liberated Denmark from the Germans. This fostered tight relations between the Swedes and the Danes. Surrounded by Soviet-dominated Europe, Denmark became politically and economically dependent on Sweden immediately after liberation and during the post-war period. This lead to the establishment of a union between the two nations; the United Kingdom of Denmark-Sweden.
Norway did not enjoy the same room for maneuver at the end of the world war. Moscow held a tight grip on the Norwegian government, who had been surveyed and directed by a Soviet advisory council since 1947. The Soviets did not allow the Norwegian king and government-in-exile to return to Norway at the war's end since Moscow rightfully deemed them hostile. Instead, the council persuaded the Norwegians to establish a republic and allow the permanent military presence of the Red Army in the country. This was a known pattern. The Baltic states and Iran had been swallowed by the USSR in 1940 using this method. The Norwegians understood that the only way to remain out of the USSR, was to follow the Swedish path, and join the union of Denmark-Sweden.
This became a possibility in early 1951. Over the course of the previous year, Denmark-Sweden suffered threatening allegations from the suspicious ruler in Moscow, that his independent ally was sheltering wanted National Socialists from Germany. A series of affairs related to this turned into a crisis which allowed the communists and the left-wing faction of the social-democratic party to purge the government of all non-socialist elements. By 1952, the United Socialist Party of Scandinavia had established a single-party state and welcomed the Norwegians to join as the third member of the United Kingdom. When the Norwegian Republic was merged with Denmark-Sweden, the socialist government used the opportunity and formally abolished the monarchies and established a socialist people's republic; the Nordic Socialist Union.
As for Iceland, the tiny nation used the occupation of Denmark in 1940 as a pretext to rift the Act of Union with the Danish King. However, neither the victorious Germans in 1941, nor the Soviets in 1948, could spare the risk of losing the strategically important island to the British or American sphere of influence in case of a future third world war. Thus, Iceland was forced to remain in its union with Denmark, later Denmark-Sweden and eventually the Nordic Socialist Union.