Chicago vs Toronto for strategy consulting?

This is a pretty broad question. I work at MBB in Toronto and have friends who are in consulting (MBB and others) in Chicago; I'd say Chicago will likely give you more opportunities, but Toronto likely has some advantages for you too.

First, the pros of going to Chicago:

• The US is a far bigger consulting market than Canada, so if you're optimizing for just the sheer number of firms, openings etc., Chicago is the clear choice here
• You'll likely make more, pay less in taxes and have lower CoL in Chicago; US pay for equivalent consulting roles ranges from slightly higher than Canada (e.g., at MBB) to far higher (e.g., at Big 4 firms)
• Your exit opportunities in the US will likely be both more numerous and better paying on average

That said, Toronto has some advantages for you:

• You likely already have a personal network here, which helps a lot for recruiting
• Depending on where you went to school, your credentials may be considered 'target' in Canada, but not in the US; in any event, you'll certainly have a stronger alumni network to draw from (in addition to your personal network)
• If you're not a US citizen, work authorization is a pain in the ass in the US; larger firms will help you maintain authorization, but smaller ones will likely prefer US citizens/existing work visa holders, which negates some of the advantages of the US being a larger market. This also meaningfully impacts exit opportunities

In addition to those broad pieces, there are various intangibles you should also consider, such as differences in work culture (likely firm and office-dependent), distance from family and friends (if that matters to you), different healthcare systems, climate, other quality of life factors etc. etc.

Hope that helps!