In her article, "The Compleat Database: Citizenship Matters," Judy Rosella Edwards provides considerable detail on researching and interpreting immigration and naturalization records. The key advice is to work backwards, as it true of most genealogical research; that is, work from the most recent information back. If an ancestor were a naturalized citizen, the place to begin would be with naturalization records, of which there are three documents along the paper trail. Also noted is the fact the "third paper" -- the final, certificate of naturalization, might even be noted in the local newspaper, perhaps among the legal notices. Recording this information in the genealogy database is important an important step in tracing an immigrant ancestor's place of origin.
I recently had the opportunity of helping my niece track her Swedish grandfather's immigration and naturalization. It was interesting to note the dates and distance traveled. Her grandfather arrived in the U.S. in 1907, in New York. Applying for citizenship, he filed his Declaration of Intention in 1919, in Seattle, Washington. Interestingly, the Certificate of Citizenship was not awarded until 1942, in Fairbanks, Alaska, some 24 years since he first filed. In all, a 35-year process. Seems immigrants as well as genealogists must practice patience.