Because my answer covers so many generic research suggestions I thought it might be helpful to repost it here.
Dear Olive Tree,
I need assistance locating immigration/migration records for my gr-gr-grandfather Henry Arthur Bolton and my gr-gr-grandmother Emily Meyrick.The problem is, I don't know exactly when Henry immigrated to Canada from England, or when he migrated from Canada to the United States. In the US census records his immigration date changes; 1900 census states 1875, 1910 census states 1871, 1920 census states 1872.What I do know is he married Emily Jane Meyrick on October 14 1886 is Worcester Massachusetts. His marriage record states his parents names as George and Elizabeth. At the time of his marriage his age is listed as 25.He died in Massachusetts May 14, 1942 (My grandmother was 19 years old)
Hello
Hillary - The first thing that jumps out at me in your query is that
immigration date for Henry. That date does not likely refer to his
immigration to Canada but rather into the USA. So if he was first in
Canada for a period of time, the year he crossed the border to USA is
almost certainly what is being referred to. (immigration years 1871,
1872, 1875)
It is not unusual to have a mis-remembered immigration year. I always advise researchers to allow a few years on either side of a date given. So I would be searching from 1870 to 1877 or so. Unfortunately Border Crossing records did not exist before 1895 so you are out of luck there.
Also I note that on his marriage record he is recorded as "Arthur H." so you will have to remember to look under both names - Henry and Arthur. As well, you may not be aware that Harry is a common nickname for Henry. I would search under all three names - Henry, Arthur and Harry.
Canadian Census & Ships Passenger Lists
You may find that Henry missed any Canadian census records which were taken every 10 years. You could look for him in 1871 census in Canada but that will probably be your only hope. Also, ships passenger lists to Canada did not have to be kept before 1865. So if Henry arrived from 1869 on you may find him in the online ships manifests found at Ancestry.com
For ships arriving in Canada before 1865 please see Filling in the Gaps which has a complete list of all substitute lists such as shipping agent records, immigration agent records and so on. Each list is linked to the actual records and most can be searched online.
Naturalization Records
Since Henry was born in England and thus was a British subject, you may find that he naturalized in the USA. In fact I had a look in his census records to see what information they gave re his naturalization status. You didn't mention that in your query so perhaps you were not aware that each census from 1900 to 1930 gives details as to whether or not a foreign-born individual had naturalized (shown as NA on the census page), had applied for his first papers (PA on the census page) or had not naturalized (AL on the census page)
Henry's 1900 and 1910 census show he had his first papers. The 1920 census states he was a naturalized citizen. You now have a timeline of 1910-1920 to search for his naturalization papers. You could also search pre 1900 for his application to naturalize. Please see NaturalizationRecords.com for information and links to online naturalization databases. You can also search Fold3
for naturalization records.
Obituaries and Newspaper Records
Have you searched for an obit for Henry? You may want to try Ancestry.com
and
GenealogyBank 
for newspaper records.
English Records
You might try looking in United Kingdom census records for Henry/Arthur/Harry and his parents. I'd try 1861 and 1871.
Have you searched Free BMD for a possible birth record for Henry? If you find a possiblity there and wish to order the full record, please see my blog post Ordering English Certificates of Birth, Marriage or Death online for instructions on how to do this. In fact I found a very good possibility for your Henry Arthur being registered in the 3rd quarter of 1861 (between July and September) in Maidstone, which fits with your Henry giving his month and year of birth in the 1900 census as August 1861. You will have to get the details re volume and page number from the Free BMD website.
Search Children's Records
One last idea for you is to search all his children. Look for death records and obituaries in particular. You never know when one child's record may provide amazing genealogical details that you cannot find elsewhere.
It is not unusual to have a mis-remembered immigration year. I always advise researchers to allow a few years on either side of a date given. So I would be searching from 1870 to 1877 or so. Unfortunately Border Crossing records did not exist before 1895 so you are out of luck there.
Also I note that on his marriage record he is recorded as "Arthur H." so you will have to remember to look under both names - Henry and Arthur. As well, you may not be aware that Harry is a common nickname for Henry. I would search under all three names - Henry, Arthur and Harry.
Canadian Census & Ships Passenger Lists
You may find that Henry missed any Canadian census records which were taken every 10 years. You could look for him in 1871 census in Canada but that will probably be your only hope. Also, ships passenger lists to Canada did not have to be kept before 1865. So if Henry arrived from 1869 on you may find him in the online ships manifests found at Ancestry.com
For ships arriving in Canada before 1865 please see Filling in the Gaps which has a complete list of all substitute lists such as shipping agent records, immigration agent records and so on. Each list is linked to the actual records and most can be searched online.
Naturalization Records
Since Henry was born in England and thus was a British subject, you may find that he naturalized in the USA. In fact I had a look in his census records to see what information they gave re his naturalization status. You didn't mention that in your query so perhaps you were not aware that each census from 1900 to 1930 gives details as to whether or not a foreign-born individual had naturalized (shown as NA on the census page), had applied for his first papers (PA on the census page) or had not naturalized (AL on the census page)
Henry's 1900 and 1910 census show he had his first papers. The 1920 census states he was a naturalized citizen. You now have a timeline of 1910-1920 to search for his naturalization papers. You could also search pre 1900 for his application to naturalize. Please see NaturalizationRecords.com for information and links to online naturalization databases. You can also search Fold3
Obituaries and Newspaper Records
Have you searched for an obit for Henry? You may want to try Ancestry.com
English Records
You might try looking in United Kingdom census records for Henry/Arthur/Harry and his parents. I'd try 1861 and 1871.
Have you searched Free BMD for a possible birth record for Henry? If you find a possiblity there and wish to order the full record, please see my blog post Ordering English Certificates of Birth, Marriage or Death online for instructions on how to do this. In fact I found a very good possibility for your Henry Arthur being registered in the 3rd quarter of 1861 (between July and September) in Maidstone, which fits with your Henry giving his month and year of birth in the 1900 census as August 1861. You will have to get the details re volume and page number from the Free BMD website.
Search Children's Records
One last idea for you is to search all his children. Look for death records and obituaries in particular. You never know when one child's record may provide amazing genealogical details that you cannot find elsewhere.
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