Traveling to and returning from Canada

The documents I showed the customs officials were:

1. valid passport,
2. I-94,
3. DS-2019 (with the travel signature),
4. a letter from my University, confirming my status.

I was also advised to have all documents photocopied just in case anyone wants to hang on to a piece of my identity During the visit I also traveled to some other countries and had no problem at all.

General advice

Scan all forms and keep an electronic backup of everything you come along your application process. Since you can only take a limited amount of stuff with you, an electronic backup could come in handy during your Fulbright stay.