I previously sent MacCready away, but now I need to find him to complete the
Long Road Ahead mission.
He is not in the VIP rooms at The Third Rail.
How can I find him on Xbox?
If you own the Vault-Tec Workshop DLC, you can build the Vault-Tec Population Management System from the Power > Miscellaneous section. It requires power, but can be built in any settlement, even without ever visiting Vault 88.
Simply select the VIP Tracker option to search for your companion. This will add the quest: "Overseer's Most Wanted", which will add a marker to the companion you're looking for. The quest is completed as soon as you get close enough to them.
Note: The Vault-Tec Population Management System doesn't work for craftable companions from the Automatron DLC.
If you don't own the DLC, you'll have to search for him in each of your settlements. It is recommended to switch your map to Supply Line mode to hide all icons except the ones for settlements.
To more easily find him in each of the settlements, make sure all settlements have enough beds, then wait for nighttime and see if you can find him sleeping in one of the beds. This is especially useful in the larger settlements, like Sanctuary.
Alternatively, the Bell (Ressources > Miscellaneous) seems to work as well, even though the link says it doesn't.