You can leave US on your US passport but enter Canada on a Canadian Passport. And vis versa.
I remember a story whereby a naturalized Canadian born in US was stopped at US Border for entering US with Canadian Passport. After they questioned and gave him a hard time, even threatened to charge with felony. The US border then decided to let him in with a Canadian Passport but "registered" him as US person entering US. They warned him that if he does it again, they will charge him next time.
Well honestly I didn't know that Canada has a law that require all Canadians (including dual) to enter Canada with Canadian Passport. My two kids are born dual (US and Canadian) and yet was able to enter Canada with their US Passports. They didn't have Canadian Passports at the time. Once they gotten their Canadian Passports, they were able to use that passports.
Here is a sample of note on Ottawa US embassy website on dual Canadian/American nationality.
Dual Citizens
If you are a dual U.S.-Canadian citizen you should always present yourself as a Canadian citizen when entering Canada and as a U.S. citizen when entering the United States. For more information, please visit our page on dual citizenship.