This has been asked regarding Windows, but not macOS.
(Yes, there's a comment on that question regarding macOS, but it's a comment and not an answer, so it's likely to be overlooked, and it's on a question about Windows, and to top it all off it's wrong.)
So, for sake of making (the correct version of) this information easy to find:
Where does VS Code store unsaved files on macOS?
It can be found in a subdirectory of
~/Library/Application\ Support/Code/Backups
Note that the space above has been escaped with a \ character, so you can copy the path and paste it onto the command line.
If you want to put it in quotation marks, then you'll need drop \ character, and replace ~ with $HOME, like so:
"$HOME/Library/Application Support/Code/Backups"
On my laptop the subdirectory is named with a 13-digit number, inside of which is /untitled/. I would guess that the directory above untitled probably varies from installation to installation.
Updated answer in 2022, for MacOS Monterey and VS Code version Version: 1.67.2 (Universal).
The path where I successfully recovered my 'otherwise considered lost in git rebase, uncommitted, unstaged' file is below:
~/Library/Application\ Support/Code/User/History
To supplement anyone trying to figure out a way to search all files with a specific extension containing one of the keyword you remember, here is the command:
find . -name "*.extension" -exec grep whatYouRememberFromFile {} +
Or if you remember only the file name, here is a command that list all 'entries.json' files which will contain all history of the file in hash format
find . -name "entries.json" -exec grep portion-of-the-file-name {} +
