How to build a credit history as new comers?

I posted earlier about buying a new car to replace our old one. My partner went around the dealerships and we were devastated to know that they won't approve us because of our credit history. We came in a year ago, pay our credit cards on time, no debts in canada and not planning to get into any debts but it crushed me that to build good history you need to go into debt.

Please help me clarify this.