I am Canadian and British and consider myself both and neither, if that makes sense. I grew up in Canada, but the bulk of my adult life has been over here (so, 2/3 of life in Canada and 1/3 in UK, approximately).
I think sense of identity is shaped by so many things: for me, having been away from Canada so long does not make me feel less Canadian, but my identity noe includes feeling British. I think it has been a slow and ongoing process: partly, lack of regular exposure to Canadian things and knowing very, very few Canadians here. I am not sure how I'd feel when we return to Canada permanently, though there are no immediate plans.
That being said, when I first arrived, I never intended to stay more than a couple of years and definitely, I had no intention of naturalising. Funny that.