In Saskatchewan, an employee is required to report a harassment complaint internally before going to the MOL, unless an employer has failed to take reasonable steps to address the harassment. As an employer, you had a duty to investigate the complaint at the first reporting of the harassment. Your question poses some concern:

1. Were you, as the employer, informed of the incident and failed to investigate initially?
2. Did your initial investigation not yield the result either party concluded was reasonable?
3. Was the employee afraid of reprisals and chose to bypass an initial internal complaint?
4. Did the MOL inform you that a complaint had been filed?

As an employer, you have a duty to investigate ALL complaints of harassment and to have a harassment and bullying free workplace.
If you are asking is it too late to start an investigation after an employee files a complaint with the MOL, the answer is no. Rest assured, the MOL is going to want to know what the initial internal investigation concluded and will be asking the same questions I asked above.
HR Insider has workplace investigation checklist (https://hrinsider.ca/workplace-harassment-investigation-checklist/) to help you with you internal investigation, as well as some specific training for how to conduct these types of investigations – please reach out directly to your customer services manager for help in this matter if you require it.