Can I set up my new iPhone before I get a sim card?

Wow, they must have had a lot of old stock sitting around. BTW, sealed in a box really doesn't mean it is new, do make sure it is go here: Check Your Service and Support Coverage - Apple Support

What I mean by expensive charges is if you leave something on the iPhone on that uses cellular data and it accesses it on the system the charges for that will be very high. Make sure you turn off cell data everywhere on the iPhone including within apps. Keep in mind that apps like Apple Maps, Weather, etc. are not going to work while you are driving, you will need to be connected to WiFi to update anything.

When you turn on the iPhone it will say Hello in several languages with a button to continue. During that process it will try to activate the iPhone and eventually will tell you to put a SIM in it.

Assuming it is unlocked as claimed by the Costco website, then yes it should work.

If the U.S Plan includes no data, then it simply won't use data. It may still roam Voice & Text when outside of the U.S. however.

Otherwise, it looks like it should work. But no guarantees.

First, where did you buy a "new" iPhone SE? Apple hasn't sold them for awhile, only have had some on clearance through the online store in the US. And you have to have a SIM to set up the iPhone. Finally, it will work but not very well and could lead to some expensive charges. Why not just use a flip phone?

Here is a problem: The ONLY place you can buy a new, unlocked iPhone is directly from Apple. No other dealer is authorized to sell unlocked phones. That means Costco cannot sell new unlocked phones any more than any other retailer can.

In Canada the law requires all phone be sold unlocked.

http://www.digitaljournal.com/tech-and-science/technology/canada-passes-law-forcing-all-new-smartphones-to-be-sold-unlocked/article/495498

pmikk wrote:

So, if I power up the phone now, as it came out of the box, what will happen?

It will start the set up process. One of the steps during set up is activation. Activation does require a sim card, but it does not have to be an active sim card with service.

You can borrow a sim card from a friend or relative to complete activation. Once activation is done, you can remove it and continue with setup without a sim card.

If you bought the iPhone at Costco it will very likely require a Canadian sim card to activate, and then lock to that carrier upon activation and so it will not work with an American sim card. It will still work in the States by connecting to an American network but will do so through network roaming with a carrier that has an agreement with the Canadian carrier being used. If it does not get locked to a Canadian carrier and an american sim card can be used it likely incur in similar roaming charges while in Vanada which can be expensive unless you are close enough to the border so the iPhone can pick up the American carrier's network directly. Otherwise it will connect to a Canadian carrier and roam which can lead to high service charges.