Jason and Christy Zielsdorf, who have five children, moved to Scotland in 2008 and invested in and ran a shop in Laggan, in the Highlands.
The Home Office said they had to return to Canada because they had not fully complied with visa rules.
In an email to BBC Scotland, Mr Zielsdorf said they were now in Canada after going there voluntarily.
The family had hoped to have been able to continue living in Scotland.
Laggan Stores Coffee Bothy and Wayfarer's Rest, the shop the family ran in Laggan in the Cairngorms, closed on 14 April and has been put up for sale by the family.
The Home Office has said Mr Zielsdorf's application for an extension of leave to remain under the Tier 1 Entrepreneur route was refused as it did not meet the immigration rules on several counts.
These included providing evidence of self-employment, evidence of National Insurance contributions and the requirement to employ two people full-time for 12 months.
A Home Office spokesman added that all visa applications were "carefully considered on their individual merits" in line with the UK immigration rules.
A family that had set up a home in Scotland is back in Canada after facing deportation from the UK.