I would say either: "Canada shares a border with the USA". Or "Canada shares its border with the USA".

Both answers sound pretty natural to me. "Canada borders the U.S." is probably the best, though, because it sounds a bit more natural.

Thank you so much!

@Ben Corey: "borders on" is probably too generous as applies to Mr. Trump. :D

As a native English speaker, to me it sounds more natural to say that Canada "borders" the USA. I tend to use "borders on" to describe when something is close to becoming someway...for example: "Donald Trump borders on insanity." so as to say (more simply), "Donald Trump is 'very close' to being insane." "Borders" I would use in a literal sense, whereas "borders on" naturally takes on a more figurative sense (in my mind). I hope that helps!