Based on what you describe, you would need to file for divorce in the jurisdiction where you ordinarily reside at the time you want to start the divorce process – in this case, the U.S. location where you are living. (You may have to meet local residency requirements to access the divorce process from there). The fact that you got married in Ontario or are Canadian citizens has no bearing on where you apply for divorce.
With that said, in some narrow circumstances you may be unable to get a divorce in the U.S. state where you are living; for example you may be in a same-sex marriage but living in a U.S. state that does recognize the legal validity of such unions, and therefore will not grant you a divorce. In that scenario, you may be eligible to apply in Canada under some recently-amended Canadian marriage laws that address this conundrum.