.45 LC is the only caliber used in mounted shooting. CMSA, SASS and MSA all have the same rule.
All three organizations require the club to provide all ammo at matches. You can "make your own" for practice, but must use "certified" ammo from an approved supplier at any official event. There are both "fair play" and, more importantly, safety reasons for this.
.45LC blanks cost about 40 cents each and are available from several different providers. These same providers also sell "half loads" and "primer only" loads for training purposes. The blanks are MUCH easier to get than live ammo in the same caliber. I just ordered 2,000 rounds for an event I am running later this month. Finding that many rounds of live .45lc ammo (at anything approaching a reasonable price) would be impossible.
Rifle class uses a similar round. It is actually a "3 in 1" shell that will work in rifles chambered for .45LC, 44-40 and .44 magnum.
Shotgun class uses the same .45LC loads that are used in the pistols. To use these in a shotgun, special inserts are places in the barrel. The insert is made in the size of the shotgun shell (i.e. 12ga) and has a hole in the center that will accept the .45LC shell.
Some people do make their own loads for practice. This can be tricky. The brass used for blanks needs a larger primer hole than those used for live ammo. Firing a blank with a standard primer hole, the primer will often back out and jam the cylinder. If you reload both live and blank ammo, you need to be careful to keep the brass separated as they should NOT be interchanged.
Getting into the sport is expensive. A pair of decent pistols (Ruger Vaqueros) will set you back around $1,000. You can find gun leather cheap, but anything decent will start at around $300.
On the plus side, the people in this game are some of the nicest people you will ever meet. Most will loan you guns, leather and even their horse to get you started out! :)
Also, once you make the initial investment in guns and leather, you are done with the "big" costs. Properly cared for, they will last you forever.
Cowboy mounted shooting is an extremely fun sport and very addictive. :)
To the Canada riders... I have heard that gun laws are pretty strict up there. There are also a few active CMS clubs in Canada. You should contact them and see if they can offer any advice on getting started. If you are close enough to the border with a gun friendly US State, driving over to a US club and borrowing (or even renting) pistols may be a feasible short-term option.