U.S.National Archives and Records Administration (NARA) has historical immigration records and passenger lists.
Ellis Island, free search of New York Passenger Record Search sponsored by The Statute of Liberty-Ellis Island Foundation, Inc.)
FamilySearch has two guides that explain how to access naturalization records and immigration records. Some of the sources cited in these guides are government sources. Which source(s) to use depends on the date and location of naturalization/immigration.