No secret history of a magical otherworld existing alongside our own is complete without government meddling. After all, a government will seek to know all of the goings-on within its borders, and eventually, it will stumble across magical elements that the population doesn't know about. What that government will decide to do with its newfound access to the magical world depends heavily on the government in question - exploitation, experimentation, diplomacy, declarations of secret war, and so on.
The United States government never went through this process of discovery. It knew about the magical world well before it gained its independence from Britain in its revolution. Its founding fathers were members of secret orders, hidden lodges, and occultic brotherhoods which sought to understand the world that existed alongside our own. When the nation came into its own, and its government began to crystallize, it needed a bureau to handle supernatural (or thaumaturgical, as was the preferred term) matters. Thus, born in the fledgling America was the first instance of the Pentagon.