Some suppliers will allow travelling across border like Canada or Mexico depending on the location and the supplier. Usually depots close to the border allow their cars to be driven into another country. It's best if you would notify the rental staff where you intend to rent a vehicle, as some suppliers will require and provide written authorization.
If you are granted permission by the renting location, additional rental qualifications may apply. You will need to have proof of citizenship, the car rental agreement and your driver's license with you when you cross the border. Check for more information here.