This isn't my usual area of expertise but a bit of a pet interest of mine, though I'm sure someone better qualified may come along!
The Northwest Passage was a theorised trading route that existed along the northern coast of North America that connected the Atlantic and the Pacific. Sir John Franklin is one of the best known of the explorers as, having led two missions to try and find the passage, he set out on a third journey with two vessels the HMS Terror and the HMS Erebus in 1845. The ships were last seen in Baffin Bay, and in spring 1847 they deposited an update on their progress at Victory Point.
On this account there are later notes stating that Franklin died in June 1847, and that the ships had been trapped in thick ice since September 1846, and thus abandoned in spring of 1848.
Multiple search expeditions were sent in the 19th century and various artifacts turned up, but there was no sign of any of the crew. As you can imagine, the crews of two ships that had seemingly vanished into thin air captured the imagination of many. There were rumours that the men had eaten each other - that's certainly the story I was told growing up. Bodies were found in the 1980's of three crew members and famously the wreckage of the ships were found in 2014 and 2016.
Henry Kelsey is unrelated to the Northwest Passage, but is a well-known explorer, believed to be the first European to have been to Saskatchewan. I believe the reference to tardiness is meant to be understood as referring to Rogers himself, not Kelsey, in this context. Rogers is commenting on the fact that he is the latest of these explorers to make these journeys across Canada, three centuries after Kelsey made them originally.
Mackenzie refers to Sir Alexander MacKenzie, an 18th/19th century explorer who was the first European to cross North America (excluding prior expeditions across Mexico) from east to west.
Fraser in the song specifically is referring to the Fraser River (hence 'race the roaring Fraser to the sea') but is named after Simon Fraser, who was a 19th century explorer who mapped much of British Columbia.
I think the choice of explorers is likely dual: their names suit the lyrics, but they are also some of Canada's most well-known explorers. Franklin's expedition and the mystery surrounding it, has inspired a significant amount of artwork, such as Wilkie Collin's play "The Frozen Deep," and numerous other fiction novels, music and paintings. There was also a recent television show, "The Terror." Kelsey is probably the least well-known, but is still well-commemorated in official naming and on commemorative memorabilia (coins, stamps.) MacKenzie is equally commemorated in schools but also the river, bay and mountain range named for him. Fraser's legacy can obviously be found on the river, in the bridge and the university.
With the exception of Franklin,
Because we're discussing a smattering of historical events and time periods it's difficult to recommend any print sources that would cover them all effectively. That said, there are some fairly good sources available online.
The Dictionary of Canadian Biography has the biographies of Sir John Franklin, Henry Kelsey, Sir Alexander MacKenzie and Simon Fraser.
In terms of primary sources there:
For Mackenzie: The Journals of Alexander Mackenzie: Exploring Across Canada in 1789 & 1793 which can be found on Amazon.
For Franklin there's Papers relative to the recent Arctic expeditions in search of Sir John Franklin and the crews of H.M.S. "Erebus" and "Terror": presented to both Houses of Parliament by command of Her Majesty. (London, 1854)
For Kelsey, the Manitoba Historical Society has published Henry Kelsey's journal.
For Fraser, The letters and journals of Simon Fraser, 1806–1808 (Toronto, 1960)