Taken from a Facebook post and my edited/slightly rewritten response to it.
I'm not even so concerned about the pro-gun source or the fact that it's capped from fox news. Here's a WSJ (a conservative publication) article on a similar stat http://www.wsj.com/articles/u-s-leads-world-in-mass-shootings-1443905359 (The headline on the article is talking about raw numbers only, not per capita). A quick read through of the article will tell you that the issue is more complicated than the stat implies. The other point, and the bigger one I would argue, is that this stat is ONLY focusing on deaths, and ONLY focusing on the relative handful of those deaths caused by "mass shootings", completely ignoring the other 30,000 deaths caused by firearms. If you look at those deaths per capita, we're #1 in industrialized nations. To be fair, reading the article, it isn't as if the researchers set out to make a point about Scandinavia, they were just compiling statistics.
Those stats are looking at only a small slice of the problem and ignoring the bigger one. Fox news then cherry picked it, put it on the air, and delusional gun owners ran with it on social media without checking up on the context of it like I just did.