Upvote:2
Yes.
US airports have no concept of "international transit". You will need to go through US Immigration, collect your bags, go through US customs (with your bags), re-check your bags after customs (there is a special drop off area for that) and most likely go through security again to get to your departure gate to Winnipeg.
You will also have to go through Canadian immigration and customs in Winnipeg again. Please note that you need proper credentials to enter the US: see https://help.cbp.gov/app/answers/detail/a_id/619/~/visiting-the-u.s.---documents-required-for-canadian-citizens-%2F-residents-%2F
It's a pain in the neck and hence it's good practice to avoid US and Canadian airports for international connections (if possible).