They did?
Puritans were English Protestants who wished to reform and purify the Church of England of what they considered to be unacceptable residues of Roman Catholicism. In the 1620s leaders of the English state and church grew increasingly unsympathetic to Puritan demands. They insisted that the Puritans conform to religious practices that they abhorred, removing their ministers from office and threatening them with "extirpation from the earth" if they did not fall in line. Zealous Puritan laymen received savage punishments. For example, in 1630 a man was sentenced to life imprisonment, had his property confiscated, his nose slit, an ear cut off, and his forehead branded "S.S." (sower of sedition).
Beginning in 1630 as many as 20,000 Puritans emigrated to America from England to gain the liberty to worship God as they chose. Most settled in New England, but some went as far as the West Indies. Theologically, the Puritans were "non-separating Congregationalists." Unlike the Pilgrims, who came to Massachusetts in 1620, the Puritans believed that the Church of England was a true church, though in need of major reforms.
Reflecting on the seventeenth century's intolerance, Thomas Jefferson was unwilling to concede to Virginians any moral superiority to the Puritans. Beginning in 1659 Virginia enacted anti-Quaker laws, including the death penalty for refractory Quakers. Jefferson surmised that "if no capital execution took place here, as did in New England, it was not owing to the moderation of the church, or the spirit of the legislature."
http://www.loc.gov/exhibits/religion/rel01-2.html