Can I apply for a J-1 visa at a U.S. Consulate in Canada or Mexico?
You may try, however, there is a risk that your visa may be denied. If your visa is denied, you will need to re-apply for J-1 visa in your home country. You will need to make an appointment with the Consulate in Canada or Mexico before you apply for the J-1 visa. For more information, visit the State Departments website, http://travel.state.gov/tcn.html.