UPDATE: This video shows how McDonald's Canada makes their McNuggets. NPR asked McDonald's public relations manager Christina Taylor how they are made in the U.S. - the video "depicts the same process we use with our U.S. suppliers." 

Source: http://www.npr.org/blogs/thesalt/2014/02/06/272112028/oh-so-thats-what-goes-into-a-mcdonalds-chicken-mcnugget