Phone immigration or go on line to each country you plan to visit they will tell you what documentation you need....
Make sure you have valid passport etc they are very strict now ....
if your wife was sponsored from India, yes, you can travel outside US and would need a Visa for each country you visit. but, if your wife's visa was obtain here in the states, you will have a problem in coming back to the states.
As Indian passport holders you would need a transit visa for both Canada and the United Kingdom regardless of your non-resident status in the United States.
My wife has a valid US H1B visa. We are travelling via Canada to Jamaica. Do I need a visa. We are Indians?
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