What is the next step once denied for an 0-1 Visa.

I agree with my colleagues.

I assume your B has already expired. If it has you are out of status. Once you are out of status for 6 months to 1 year you will have a three bar on returning to the US and if you are out of status for over one year you will have a ten year bar on returning to the US. Of note the bar only goes into effect should you depart the US. I recommend that you confer with an attorney to explore the best option for you to proceed as you mention you will marry in the near future. I assume you

If you were working with an attorney to file your O-1 visa (and you should have been, as these cases are incredibly complex), your attorney should be able to advise you on the next steps. If not, as my colleague suggested, you should retain one immediately. Since your application for change of status has been denied, and your authorized stay on your B-1/B-2 has expired, you are currently out of status, so you need to leave quickly to avoid acquiring enough unlawful presence to trigger the bars to re-entry. You absolutely should not go to Canada and attempt to re-enter on another tourist visa if your intention is to file for immigrant status once you return. That is a violation of your tourist status, and, more importantly, immigration fraud. You might have several avenues of relief, including leaving and re-entering at a later date on a fiance visa, but you should absolutely consult with an immigration attorney in your area to discuss the various options, before you inadvertently do something that could place a blemish on your immigration history and foreclose other immigration options.

I agree with my colleagues.