Upvote:4
Roger Williams was from London, John Clarke was from Suffolk, Ezekiel Holliman was from Hertfordshire... so, generally, the preachers from the first three Baptist churches in the Americas came from the Southeast of England, but that doesn't tell the story.
None was a Baptist when they came over to the New World - Williams, Clarke and Holliman converted each other after reading Baptist literature and discussing it with each other, and converted their flock with them, once they were settled in their respective corners of Rhode Island. (Clarke had come with Anne Hutchinson from Massachusetts colony to found Portsmouth, the first municipal democracy, and was persuaded into his new spiritual life by Williams after he broke with Portsmouth, and settled in Newport.)
Of William's parishioners who moved with him to Rhode Island from Massachusetts, one was from Sussex and the other from Wiltshire, both in the Southwest of England.
So the answer is technically "Massachusetts" - in actuality, they came from all over, there wasn't a hotbed of Baptists in England yearning to be free. Most of the early colonial Baptists were converted peaceably to the faith once they arrived.