The NBA and NHL are divided into Western vs. Eastern conferences, but MLB and the NFL are American vs. National.
I’m assuming the NFL does this partly because the lesser travel (only 16 games per season) means less need to geographically divide conferences - although that seems like hairsplitting anyway - but why didn’t MLB also divide on an East-West basis as well? MLB involves an enormous amount of travel, too.
Historical reasons. The American League grew up out of a minor league that had teams in the same areas as the National League (and in some cases the same cities).
History. The NFL absorbed the upstart American Football League in the 1960s. Although there’s been some conference realignment, that’s why the modern NFL has the two conferences.
Baseball goes back a lot further. There have been a variety of major leagues over the years. Making it very simple, one of those major leagues was the National League. Soon, an upstart league, the American League, was formed as a competitor. Thus, modern MLB consists of two leagues under the MLB umbrella. They do differ in rules with the DH in the AL but not the NL.