Equivalents of XDG_CONFIG_HOME and XDG_DATA_HOME on Mac OS X?

I would use ~/Library/Application Support/script_name/. The subdirectories inside Application Support are used conventionally by various apps, including Apple's own softwares. But it's not enforced by the OS and not tied to apps inside /Applications. So you're perfectly free to create your own directory in it.

For the directory structure of OS X in general, see this Apple document.

I agree with OJFord's comment: if you are writing a script (I think this applies to all CLI-only application), simply follow the XDG Base Directory would be better.

Rationales:

1. Names in XDG_CONFIG_HOME are typically small-case bare-names like git; the ones in ~/Library/Preferences/ are typically files named with reverse domain name notation like com.apple.AppStore.plist, or directories named in title case like Blackmagic Design.
2. GUI applications have been following macOS conventions when they are placed in /Applications. You don't place your script in /Applications; you place them in UNIX-specific directorys. Better to be consistent.
3. ~/Library/Preferences/ is full of .plists. No cross-platform script that I know is using property lists.
4. Users may want to sync cross-platform configuration and macOS-only one separately.

For example, Git places their config file in XDG_CONFIG_HOME/git/config, not in ~/Library/Preferences/Git/config. Makes sense to me.

note

I made the point only for configuration files ($XDG_CONFIG_HOME) and data files ($XDG_DATA_HOME); for cache files it gets subtle. According to How-To Geek, ~/Library/Caches directory is excluded from Time Machine by default. I don’t care about cache folder since I back up neither directories anyway; but for ones who care, I recommend them to link ~/.cache to somewhere in the default cache folder, such as:

cd ~; mv .cache ~/Library/Caches/XDG-cache; ln -s ~/Library/Caches/XDG-cache .cache

Comparing Apple's documentation for the various paths to the XDG Base Directory specifications approximates to the following locations:

• XDG_CONFIG_HOME ▶︎ ~/Library/Preferences/
• XDG_DATA_HOME ▶︎ ~/Library/
• XDG_CACHE_HOME ▶︎ ~/Library/Caches/

Mapping XDG Base Directory Specification locations for "My App" on Mac OS X could look like this:

• XDG_CONFIG_HOME ▶︎ ~/Library/Preferences/name.often.with.domain.myapp.plist
• XDG_DATA_HOME ▶︎ ~/Library/My App/
• XDG_CACHE_HOME ▶︎ ~/Library/Caches/My App/

These mappings seem pretty reasonable but they aren't exact. Some kinds of cache or data may be appropriate for ~/Library/Application Support/My App, and other may be best in the temp locations or the App bundle. All of it is by convention and the same reasons for using the best XDG_ locations apply to using the best locations on the Mac OS X system.

Your annoyance at ~/.myscript is in line with Apple's guidelines: "Don't pollute user space".

References:

• Mac OS X Reference Library: Where to Put Application Files
• Mac OS X Reference Library: Important Java Directories on Mac OS X