Basically I need the data this infographic uses, the density per city or better yet per km square. USA or EU is indifferent, need it for a project.
You can get the US census data here: http://factfinder.census.gov/faces/nav/jsf/pages/searchresults.xhtml?refresh=t
Get the TIGER data (blocks, tracts etc.) here: https://www.census.gov/geo/maps-data/data/tiger.html
Then join the two and put something similar together.
Have a look at Gridded population of the World from SEDAC/NASA. They have grids for population and population density, historical and forecast versions too.
It has global coverage and comes as rasters. They're fairly high resolution but you can clip them down to the contiguous US or other extent, e.g. using shapefiles from Natural Earth.