Depending on the roadway layout, you’re not always expected to pull over to the right.
Section 159 of the Highway Traffic Act states the following:
"...when on a roadway having more than two lanes for traffic and designated for the use of one-way traffic, as near as is practicable to the nearest curb or edge of the roadway and parallel therewith and clear of any intersection."
So if you were on a divided highway, you did the right thing by pulling to the left. That being said, you also did the right thing by later pulling to the right when the ambulance switched lanes.
Toronto Police/Fire/EMS have a slightly dated but still relevant video. Even they state pull over as the law requires, but also use common sense since emergency providers also may have to use alternate lanes depending on traffic, etc.
Link:
http://www.torontopolice.on.ca/media/vi ... e_over.wmv