Complex sentence: When an American force failed to intercept him, it went on to Sault Ste. Marie, where it burned the North West Company warehouses on both sides of the St. Mary's River, causing substantial losses to Johnston and the Company.
Split into simpler sentences: When an American force failed to intercept him, it went on to Sault Ste. Marie. There the US raiders burned the North West Company warehouses on both sides of the St. Mary's River, causing substantial losses to Johnston and the Company.