The Hawkeye Aviation Embraer EMB-505 (C-GJOL) departed Palm Springs (KPSP), CA for Springbank (CYBW), AB. It was reported that immediately after take-off there was an un-commanded, severe right yaw. The flight requested a return to KPSP. On final approach, the pilot had to use differential thrust to keep airplane aligned with runway. During the landing, the left wing incurred minor damage. There were no injuries. The NTSB is conducting a limited investigation with the assistance of the FAA.