Are the Rocky Mountains in Canada or the US?

Both. The Rocky Mountains stretch 3,000+ miles (4,800+ km) from:

• Northern terminus: Liard River, northern British Columbia, Canada
• Through: Alberta, BC (Canadian Rockies – Banff, Jasper, Yoho, Kootenay)
• Into US: Montana, Idaho, Wyoming (Yellowstone, Grand Teton), Colorado (Southern Rockies – 50+ 14ers), New Mexico (Sangre de Cristo)
• Southern terminus: Near Santa Fe, NM

The range forms the Continental Divide (hydrological apex of North America) for most of its length. Distinct sub-ranges on each side of the border, but one continuous orogenic belt.