This link is helpful for finding which insects can be imported into Canada and what uses are legal:
http://www.inspection.gc.ca/plants/plant-pests-invasive-species/directives/imports/d-12-02/appendix-1/eng/1433209372739/1433209373489#a2
It lists silkworms under bombyx mori (I'd suggest control + F to find it, the list is huuuge), and it says you don't need a permit if they're being imported from the US. It doesn't say anything about eggs however. Maybe contact the Canadian customs office and see if they can offer any information?
Edit: aha, I just saw how old this thread is :lol: Oops.
Well I hope they got across the border okay!