Can you provide some evidence for your claim? I suspect that you are overstating things. First, though it may be that the Federal government was not involved in the earliest efforts, I would be amazed if the individual states had no role. State government is still government. This is particularly true vis a vis laying track that is used by everyone. It is the same for canals, for roads, and for airports.
Now, it is true that governments - at least in the United States - do not run railroads (anymore than governments run taxi companies or airlines), they are largely responsible for building and maintaining the infrastructure and always have been.
I actually should have inserted "federal" before government, as quite a few railroads were either city or state endeavors. Many were also private businesses, and not all of those private businesses were failures -- so it does provide a working model for the non-governmental construction of roads (as asked for). A railroad is still a road.
Today, most railroad infrastructure is NOT governmental in nature. The government sets standards, and companies do the effort.