The term “American dream” seems to have come into currency in the thirties. It is often attributed to James Truslow Adams, who used it in a book in 1931 to refer a certain American style of thought. However, it was used at least a year earlier to refer to the movies. According to the Literary Gazette, movies were characterized as dreams by a French critic, Bernard Fay, who claimed that they were, pre-eminently, "American dreams".
It makes sense to me that American dream would emerge from the intersection of the analogy of movies to dreams and the crisis of American capitalism, for the dream metaphor is, otherwise, a curious one. It implies, among other things, a collective sleep – yet it is supposed to speak to an overall waking purpose. It lacks the abstractness of an ideal. It is sexier than a project, less religious than a vision. It is not a mission - which is the French myth, the mission civilisatrice. It contrasts with the British pride in absentmindedness - that smug "absentmindedness" by which Britain acquired an empire.
Movies, through a persistent analogy – the moving picture seen in a dark room, the dream seen under closed eyes – were dreams that violated the limit of the dream, which is the rule that dreams are private, one person only affairs. The metaphor dispenses with the condition inhering in the term referred to. Historians, who often are amazingly clumsy philologists, have a tendency not to care about the conditions of the emergence of a phrase, but brandish it around as though it were implicitly in the thoughts of the founding fathers, or the Pilgrims, or immigrants, etc. But this kind of procedure is, to say the least, extremely unhistorical. We wouldn't attribute an electric razor to the Pilgrims, and I see little reason for attributing the American dream to them. Both are material devices.
If this is right, and the movie metaphor established the rhetorical conditions for the political metaphor, then we can see the American dream as a uniquely modernist invention, and the discourse around it as, among other things, the way in which American modernism sought to understand itself. And like many modernist inventions, it immediately seeks to naturalize itself, to produce bogus roots in a much larger history, to invent a tradition for itself.