The Navy protects the US coasts from other large Navies.
The Coast Guard is more of a combination maritime police force — going up against smugglers and the like — and maritime rescue force. If you’re in the water and radio for help, the Coast Guard will respond and will head up rescue and recovery efforts.
This model isn’t unique to the US — I know at least the UK has a “Coastguard” separate from its Navy with similar responsibilities.
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