The Naturalization Records site has created a directory to free records for USA and Canada. You can find Passport Applications, Citizenship Certificates, Declarations of Intent, Alien Registrations and more. The site also points to substitute naturalization records like ships passenger lists, oaths of allegiance and voter registration lists.
One of the very nice things you’ll find at this site is help. When I clicked to look at Canadian records, I was presented with a page that presented descriptions of the different record sets along with suggestions on where to looks first. Lorine has spent a lot of time and effort describing the kind of information each database contains and offering tips on how to search them.