The Canadian Embassy in China informed me of the immigration medical examination. I am not in Beijing, but in Canada. What should I do?

You can also do immigration check in Canada. You don't have to fly back.

http://www.cic.gc.ca/dmp-md/medical.aspx

This is a list of clinics in Canada that are eligible for immigration medical examination. You can check the nearest address and contact them.

Pay attention to ask what materials you need to bring, which may be different from the domestic physical examination. Passports and new medical photos should be necessary.