Canada

Even if the salaries seems to be higher in Canada but the government taxes are almost 55%, so by the end of the day you are left with too little. In Canada, the companies give more preference to those who have Canadian college degrees. Australia and New Zealand are better places with reasonable taxes.

Dear Shashank,
Apparently, both the countries are good and have world famous universities. If you ask about a third country it is actually Germany which has a higher reputation in the field of automobile engineering. You may zero in your country choice based on the admission requirements, post study work options , expenses etc. USA is expensive.

Stress is everywhere.
The most important thing is that which area fascinates you the most. USA has very good scope in mechanical engineering. But please ensure Never apply to AZ, CA, NM as most of the companies here are defence companies and will not hire a foreigner.
For Canada, the scope is good if you study either of the engineering from a Canadian University.

Dear Ashik,
Difference are generally in terms of selectivity: Canadian universities are more competitive and selective compared to Australian universities, in terms of program structure MS in Canada is highly research oriented or course based which is not research based. Such segregation is not seen in Australian universities though MS programs are research based. PGD is a diploma course available both the countries, as mentioned Canada is more selective.