What platform and operating system are you using? I, too, use a Canon, and I haven’t had the problem you’re describing. The images do download from the Camera as JPEGs, unless you’re using the RAW format. Are you sure you haven’t merely created a PSD copy and are then later looking at the original image files, with the PSDs in another location?
My workflow, for the sake of comparison, is to download to a new folder on my hard drive, using a card reader, not the direct download method. I then convert all of these JPEGs to either TIFF or PSD, and I save those in a separate folder. The original images from the camera stay untouched, and any work/printing is done on the images that have been converted to the lossless format.
Unless you’ve actually done a conversion using Save As or through the Batch process, just opening these files in Elements doesn’t automatically change their format from JPEG.