1. Install the below extension in Visual Studio Code.

Salesforce Package.xml Generator Extension for VS Code helps in generating the package.xml file.

https://marketplace.visualstudio.com/items?itemName=VignaeshRamA.sfdx-package-xml-generator

2. Pres Ctrl + Shift + P.

3. Enter package and select Package.xml Generator: Choose Metadata Components.

4. Choose Metadata Components for Package.XML.

5. Click Update Package.xml button to update the package.xml file.

Sample Package.xml:

<?xml version="1.0" encoding="UTF-8" standalone="yes"?>  
<Package xmlns="http://soap.sforce.com/2006/04/metadata">  
    <types> 
        <members>*</members> 
        <name>ApexClass</name> 
    </types> 
    <types> 
        <members>*</members> 
        <name>ApexComponent</name> 
    </types> 
    <types> 
        <members>*</members> 
        <name>ApexPage</name> 
    </types> 
    <types> 
        <members>*</members> 
        <name>ApexTestSuite</name> 
    </types> 
    <types> 
        <members>*</members> 
        <name>ApexTrigger</name> 
    </types> 
    <types> 
        <members>*</members> 
        <name>AuraDefinitionBundle</name> 
    </types> 
    <types> 
        <members>*</members> 
        <name>StaticResource</name> 
    </types> 
    <types> 
        <members>*</members> 
        <name>CustomApplication</name> 
    </types> 
    <types> 
        <members>*</members> 
        <name>ApprovalProcess</name> 
    </types> 
    <types> 
        <members>*</members> 
        <name>AssignmentRule</name> 
    </types> 
    <types> 
        <members>*</members> 
        <name>AuthProvider</name> 
    </types> 
    <types> 
        <members>*</members> 
        <name>CallCenter</name> 
    </types> 
    <types> 
        <members>*</members> 
        <name>Community</name> 
    </types> 
    <types> 
        <members>*</members> 
        <name>ConnectedApp</name> 
    </types> 
    <types> 
        <members>*</members> 
        <name>CustomApplicationComponent</name> 
    </types> 
    <types> 
        <members>*</members> 
        <name>CustomMetadata</name> 
    </types> 
    <types> 
        <members>*</members> 
        <name>CustomPermission</name> 
    </types> 
    <types> 
        <members>*</members> 
        <name>Dashboard</name> 
    </types> 
    <types> 
        <members>*</members> 
        <name>DataCategoryGroup</name> 
    </types> 
    <types> 
        <members>*</members> 
        <name>Document</name> 
    </types> 
    <types> 
        <members>*</members> 
        <name>EmailTemplate</name> 
    </types> 
    <types> 
        <members>*</members> 
        <name>EntitlementProcess</name> 
    </types> 
    <types> 
        <members>*</members> 
        <name>EntitlementTemplate</name> 
    </types> 
    <types> 
        <members>*</members> 
        <name>FlexiPage</name> 
    </types> 
    <types> 
        <members>*</members> 
        <name>Flow</name> 
    </types> 
    <types> 
        <members>*</members> 
        <name>Group</name> 
    </types> 
    <types> 
        <members>*</members> 
        <name>HomePageComponent</name> 
    </types> 
    <types> 
        <members>*</members> 
        <name>HomePageLayout</name> 
    </types> 
    <types> 
        <members>*</members> 
        <name>CustomLabels</name> 
    </types> 
    <types> 
        <members>*</members> 
        <name>Layout</name> 
    </types> 
    <types> 
        <members>*</members> 
        <name>MilestoneType</name> 
    </types> 
    <types> 
        <members>Account</members> 
        <members>AccountContactRole</members> 
        <members>Activity</members> 
        <members>Asset</members> 
        <members>AssetRelationship</members> 
        <members>AssistantProgress</members> 
        <members>Campaign</members> 
        <members>CampaignMember</members> 
        <members>Case</members> 
        <members>CaseContactRole</members> 
        <members>CaseMilestone</members> 
        <members>ChatterActivity</members> 
        <members>CollaborationGroup</members> 
        <members>CollaborationGroupMember</members> 
        <members>Contact</members> 
        <members>ContentVersion</members> 
        <members>Contract</members> 
        <members>ContractContactRole</members> 
        <members>ContractLineItem</members> 
        <members>DuplicateRecordItem</members> 
        <members>DuplicateRecordSet</members> 
        <members>EmailMessage</members> 
        <members>Entitlement</members> 
        <members>EntitlementContact</members> 
        <members>EntityMilestone</members> 
        <members>Event</members> 
        <members>ExchangeUserMapping</members> 
        <members>FeedItem</members> 
        <members>ForecastingAdjustment</members> 
        <members>ForecastingCategoryMapping</members> 
        <members>ForecastingOwnerAdjustment</members> 
        <members>ForecastingQuota</members> 
        <members>ForecastingTypeToCategory</members> 
        <members>Idea</members> 
        <members>Indicator_Badge__mdt</members> 
        <members>Lead</members> 
        <members>LeadGen_Reroute_Parent_Queue__mdt</members> 
        <members>Macro</members> 
        <members>MacroAction</members> 
        <members>MacroInstruction</members> 
        <members>Opportunity</members> 
        <members>OpportunityCompetitor</members> 
        <members>OpportunityContactRole</members> 
        <members>OpportunityLineItem</members> 
        <members>Order</members> 
        <members>OrderItem</members> 
        <members>PartnerRole</members> 
        <members>PersonAccount</members> 
        <members>Pricebook2</members> 
        <members>PricebookEntry</members> 
        <members>Product2</members> 
        <members>ProfileSkill</members> 
        <members>ProfileSkillEndorsement</members> 
        <members>ProfileSkillUser</members> 
        <members>QuickText</members> 
        <members>Quote</members> 
        <members>QuoteLineItem</members> 
        <members>RecordAction</members> 
        <members>RequestsForAccessSIQ</members> 
        <members>Scorecard</members> 
        <members>ScorecardAssociation</members> 
        <members>ScorecardMetric</members> 
        <members>ServiceContract</members> 
        <members>Site</members> 
        <members>SocialPersona</members> 
        <members>Solution</members> 
        <members>StreamActivityAccess</members> 
        <members>StreamingChannel</members> 
        <members>Task</members> 
        <members>Topic</members> 
        <members>TopicAssignment</members> 
        <members>User</members> 
        <members>WorkBadge</members> 
        <members>WorkBadgeDefinition</members> 
        <members>WorkOrder</members> 
        <members>WorkOrderLineItem</members> 
        <members>WorkThanks</members> 
        <members>*</members> 
        <name>CustomObject</name> 
    </types> 
    <types> 
        <members>*</members> 
        <name>Letterhead</name> 
    </types> 
    <types> 
        <members>*</members> 
        <name>CustomObjectTranslation</name> 
    </types> 
    <types> 
        <members>*</members> 
        <name>PermissionSet</name> 
    </types> 
    <types> 
        <members>*</members> 
        <name>PostTemplate</name> 
    </types> 
    <types> 
        <members>*</members> 
        <name>Profile</name> 
    </types> 
    <types> 
        <members>*</members> 
        <name>Queue</name> 
    </types> 
    <types> 
        <members>*</members> 
        <name>QuickAction</name> 
    </types> 
    <types> 
        <members>*</members> 
        <name>RemoteSiteSetting</name> 
    </types> 
    <types> 
        <members>*</members> 
        <name>ReportType</name> 
    </types> 
    <types> 
        <members>*</members> 
        <name>Workflow</name> 
    </types> 
    <types> 
        <members>*</members> 
        <name>Report</name> 
    </types> 
    <types> 
        <members>*</members> 
        <name>SiteDotCom</name> 
    </types> 
    <types> 
        <members>*</members> 
        <name>CustomSite</name> 
    </types> 
    <types> 
        <members>*</members> 
        <name>Scontrol</name> 
    </types> 
    <types> 
        <members>*</members> 
        <name>Settings</name> 
    </types> 
    <types> 
        <members>*</members> 
        <name>CustomTab</name> 
    </types> 
    <types> 
        <members>*</members> 
        <name>Translations</name> 
    </types> 
    <types> 
        <members>*</members> 
        <name>CustomPageWebLink</name> 
    </types> 
    <types> 
        <members>*</members> 
        <name>Role</name> 
    </types> 
    <types> 
        <members>*</members> 
        <name>SamlSsoConfig</name> 
    </types> 
    <types>
        <members>*</members>
        <name>SharingCriteriaRule</name>
    </types>
    <types>
        <members>*</members>
        <name>SharingOwnerRule</name>
    </types>
    <types>
        <members>*</members>
        <name>SharingTerritoryRule</name>
    </types>
    <!-- Embedded Service Deployments -->

    <types>
        <members>*</members>
        <name>EmbeddedServiceConfig</name>
    </types>   
    <!-- Messaging Component Start -->
    <types>
        <members>*</members>
        <name>ConversationMessageDefinition</name>
    </types>
    <!-- Messaging Component End --> 
<version>52.0</version> 
</Package>  

Reports, documents, email templates, etc are under folders and currently not supported to retrieve without mentioning the folder names.

For additional component names, check https://infallibletechie.com/2014/07/salesforce-components-names-for-ant-tool.html