I am currently applying for an LMO in the engineering field, and I am freaked right out abt the fact that it could come back as negative.
My boss suggested I start my own business if things go wrong, and he would hire me for my services.
Can I enter Canada as a self-employed person, without having to show proof that I have, like, $200,000 in my bank account?
Is there an application for this? Should I open the business here in Canada? Or do I need to be granted entry as a self-employed person first, and then I can open up the business?
Your boss' suggestion isn't possible. There is no self-employed work permit and no application for working temporarily as a self-employed person in Canada. If you wish to work in Canada temporarily, then you must work for an employer - which means you need a job offer from an employer and an approved LMO so that you can obtain a work permit.
If you try to enter Canada as someone who wants to work temporarily as a self employed person in Canada, you'll be sent home for trying to work illegally.
There is a process for immigrating to Canada as someone who wants to start a business in Canada. However it will likely take a few years for your application to be approved so this isn't a realistic solution for the short term. You can find out more about this immigration stream here:
