Records for military personnel who served in countries other than Canada are generally retained at the national archives of the applicable country.
The list below includes URLs for:
United States of America –https://www.archives.gov/veterans
United Kingdom – http://www.nationalarchives.gov.uk/help-with-your-research/research-guides/british-army-soldiers-after-1913
France – http://www.servicehistorique.sga.defense.gouv.fr
For countries not listed, you should enter the specific country and the term “military record archives” in any search engine.