Ontario income tax rate: 12.16%
Canada federal tax rate: 26%
Employment Insurance and Social Security are deducted seperately and made up the rest of my deductions.
Connecticut state income tax rate: 5.50%
US federal tax: 22%
Unless social security rates are worse than Canada, I don't see how your situation is possible.
I once worked in the US and in Canada (Connecticut) in the same year.
My tax rate was lower in Canada for the same salary.