Complex sentence: Harvey Kaye returned to Las Vegas where he re-formed the band, which toured the U.S., Canada, and Mexico until the mid 1980s, when they returned to Las Vegas, playing its finest hotels.
Split into simpler sentences: Harvey Kaye returned to Las Vegas where he re-formed the band. They toured the U.S., Canada, and Mexico until the mid 1980s, when they returned to Las Vegas, playing its finest hotels.