Hi , What are the names of your Grandparents?
They may have travelled via Canadian Pacific or Canadian Natilonal Railway.
http://www.collectionscanada.gc.ca/trains/021006-2040-e.htm
http://www.trainweb.org/oldtimetrains/CPR/travel/history.htm
I would not imagine that records would have been kept/ archived for all passengers travelling across country.
It is possible that I am wrong.
Cheers, Stella