IIRC the coast guard was founded to help protect against piracy. When the U.S. was founded, there was an enormous problem with piracy off her coast and the country was faced with a dilemma: pay off the pirates (which would only mean they’d come back later demanding more money) or fight them.
I could be wrong about this, but I think the chief difference now is that the Navy/Marines are a global force (including ensuring that neutral waters stay neutral), while the Coast Guard is confined to U.S. territorial waters (which includes things like drug interdiction, smuggling, rescues).
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