Settled among the wheat fields and mineral mines of the Canadian plains, the city of Saskatoon is hardly a hotbed for contemporary art. Yet having watched art lovers descend on out-of-the-way locales like Arkansas’ Bentonville and Colombia’s Bogota, Saskatoon is determined to join the global circuit this fall.

For bait, the Canadian government spent $63 million on a 130,000-square-foot, Jenga-like museum complex sheathed in copper and glass called Remai Modern. The space, designed by Toronto firm KPMB, is named after a local...