To retrieve the Custom Metadata and the associated custom fields using package.xml in Salesforce, check the following package.xml.

Sample package.xml:

<?xml version="1.0" encoding="UTF-8"?>
<Package xmlns="http://soap.sforce.com/2006/04/metadata">
    <types>
        <members>Test__mdt</members>
        <name>CustomObject</name>
    </types>
    <version>54.0</version>
</Package>

Sample Custom Metadata Type:

Retrieved metadata:

<?xml version="1.0" encoding="UTF-8"?>
<CustomObject xmlns="http://soap.sforce.com/2006/04/metadata">
    <fields>
        <fullName>Active_Date__c</fullName>
        <externalId>false</externalId>
        <fieldManageability>DeveloperControlled</fieldManageability>
        <label>Active Date</label>
        <required>false</required>
        <type>Date</type>
    </fields>
    <fields>
        <fullName>Is_Active__c</fullName>
        <defaultValue>false</defaultValue>
        <externalId>false</externalId>
        <fieldManageability>DeveloperControlled</fieldManageability>
        <label>Is Active?</label>
        <type>Checkbox</type>
    </fields>
    <label>Test</label>
    <pluralLabel>Tests</pluralLabel>
    <visibility>Public</visibility>
</CustomObject>