Library and Archives Canada (LAC) has published a post on its blog about the United Empire Loyalist records it holds and how to search them. Some of the records are online.
LAC explains who the Loyalists were: “The term ‘United Empire Loyalists’ (often referred to as UEL) refers to the American colonists who remained loyal to the British Crown during the American Revolution, and many of which fought for Britain during that conflict. They fled the United States and settled in what are now the provinces of Nova Scotia, New Brunswick, Prince Edward Island, Quebec and Ontario.”
Another resource for researching your Loyalist ancestors is the nearest branch of the United Empire Loyalists’ Association of Canada.