I am from India and have done my Masters from the US. I am on my H1-B and wanted to know if I can go for my visa stamping to either Canada or Mexico?
If yes, which would be better?
If it is your first time, you can not go to mexico unless you are a mexican citizen. The tijuana immigration office is only for renewals. All the best.
Your first choice should be the U.S. consulate in your home country. If you insist on visiting a contiguous country as a third country national requesting the H-1B visa for the first time, you can try contacting a consulate post in Canada to see if that post will entertain your case.