How difficult is it to break into US consulting from a Canadian undergrad? Dual Citizen?

I've seen it happen. It's really firm dependent since it really is about client concentration. The most common is OW's Toronto and New York office both targeting NA Fin. Service clients so you often work with NY team the same (or more) than the Canadian. Other firms probably have a similar situation. I will note that the firms have little benefit from hiring you for US, so you have to prove interest and competence. If you're following US Oil & Gas (or energy) , you'd look really good to Boston offices, etc. The other route is to do an internal firm rotation (often around the one year mark). This depends on factors like staffing requirements/demand and whether your skills align for the assignment/work.