Few of them do. Unless your families came through Hamburg, Germany, the pre-1910 ship passengers lists will not tell much more than the fact they arrived on a certain date, in a specified port and on a particular ship. This is information you will want to have, but the best source to obtain it is from naturalization papers. In addition, naturalization papers will usually provide you with the birth place of your immigrant ancestor. This is vital to enable you to continue your research in the old country.
Dates are critical for naturalization research.
Fees constantly change, so better to check first. If your ancestor applied for citizenship prior to this 1906 date, the records may be obtained from the clerk of the court in which the person was naturalized. Certificate of Naturalization could be in three different places, though usually only in one or two. Since many naturalization records found in local courts throughout the United States have been microfilmed by the Family History Library in Salt Lake City, check its records first. This will tell you what, if any, records for that state and county have been filmed, along with the dates.