My thoughts regarding these Mexicans going to Canada is as follows... Canada would probably welcome most of these "undocumented immigrants". There are many farms in Canada that need labor help plus many building construction jobs (trades) near big cities where a construction boom is still going on.
This also gets back to the reality that deporting millions of Mexicans (and other Central American illegal immigrants) from the U.S. will be very costly and difficult. There will also be a significant economic impact both in their purchasing of goods and the jobs they hold.
Personally I believe the best approach to solve the illegal immigration issue in the U.S. is a three part solution:
1) Build a wall. Even though it is likely that the "wall" will consist of many areas without a wall but improved surveillance via cameras and drones plus enhanced border patrol presence. This will serve to keep new illegals out and deportees from returning illegally.
2) Require every illegal resident in the U.S. to register. Set a 90 day period in which every illegal immigrant in the country is required to register at a government office (with picture taken, etc.). Do a criminal background check on all of them. Anyone with a criminal background or fails to register will be subject to deportation starting at Day 91. There should be an active deportation effort.
3) Issue 6 year Visa to registered illegal immigrants who are not criminals. The document should include their picture. After six years they can submit an application for another six years, go home, or attempt to get a green card. This will also require that the properly pay taxes, but still will not be eligible for public benefits.
Step 3 may sound like "amnesty" to some, but it is different since it is not permanent. As a country we need to face the reality that from a demographic perspective we will need new workers in the labor force. Fifty years from now we will probably be actively begging for people to immigrate from foreign countries. It would be best if we faced reality and put in place pro-active policy to deal with the illegal immigrants -- most who are hard working decent people -- and clear out the criminals among them.