We examine the roles of subnational and national governments in Canada and the USA vis-à-vis protective public health response in the onset phase of the global COVID-19 pandemic. This period was characterized in both countries by incomplete and incorrect information as well as the uncertainty regarding which level of government should be responsible for which policies. The crisis represents an opportunity to study how national and subnational governments respond to such policy challenges. In this paper, we present a unique dataset which catalogues the policy responses of US states and Canadian provinces as well as those of the respective federal governments: the Protective Policy Index (PPI). We then compare the US and Canada along several dimensions including: the absolute values of subnational levels of the index relative to the total protections enjoyed by citizens, the relationship between "early threat" (as measured by the mortality rate near the start of the public health crisis) and the evolution of the PPI, and finally, the institutional/legislative origins of the protective health policies. We find that the subnational contribution to policy is more important for both the US and Canada as compared to their national-level policies, and is unrelated in scope to our "early threat" measure. We also show that the institutional origin of the policies as evidenced by COVID-19 response differs greatly between the two countries and has implications for the evolution of federalism in each.