In practice, it is very difficult for western-style democracies to impose sanctions on each other. First and foremost, they are all close allies, and secondly their economies are so intertwined. When disagreements arise over policy decisions, they usually take the form of import bans or tariffs. For example, Canada and Japan (have/had?) import bans on US beef and dairy products. Some European countries (notably France) ban imports of genetically modified corn from the US. The US has threatened tariffs on Mexico over immigration policy. That sort of thing.
When it comes to non-friendly countries, they sanction each other all the time. China has sanctions against some US technology firms over the sale of defense technology to Taiwan. North Korea has blanket sanctions on the US including a travel ban for US citizens. Iran and Russia similarly have sanctions against the US.
The difference is that the countries sanctioning each other usually have reciprocal animosity, and western-style democracies have much larger economies that are not as disaffected by sanctions being imposed on them. The net result is that sanctions are not an effective tool against them. And with the US in particular, it is the world's largest economy by a pretty wide margin, so a country cutting itself off from that does so mostly at their own expense.