How to Retrieve and Deploy Custom Metadata Types using ANT

build.properties

# build.properties 
sfSandbox.serverurl = https://test.salesforce.com
sfPRO.serverurl = https://login.salesforce.com
 
sfdc.Org2.username=Org2@gmail.com
sfdc.Org2.password=Org2Pwd
sfdc.Org2.retrieveTarget=Org2\\src
sfdc.Org2.unpackaged=Org2\\src\\package.xml
sfdc.Org2.retrieveMessage= Script to retrieve metadata from Org2
 
sfdc.Org1.username=Org1@gmail.com
sfdc.Org1.password=Org1Pwd
sfdc.Org1.retrieveTarget=Org1\\src
sfdc.Org1.unpackaged=Org1\\src\\package.xml
sfdc.Org1.retrieveMessage= Script to retrieve metadata from Org1pur@gmail.com

root.dir=C:\\ProjectPath\\Personal Orgs 

build.xml

<project name="Deployment Scripts" default="dev11" basedir="." xmlns:sf="antlib:com.salesforce">
 	   
    <property file="build.properties"/>
    <property environment="env"/> 
	<property name="test.Level" value="NoTestRun"/>
	<property name="test.Level.LocalRun" value="RunLocalTests"/>
   
	
	<target name="Org1">
		<echo message="${sfdc.Org1.retrieveMessage}"/>
		<echo message="${sfdc.Org1.username}"/>
		<echo message="folder - ${root.dir}/${sfdc.Org1.retrieveTarget}"/>
		<echo message="path - ${root.dir}/${sfdc.Org1.unpackaged}"/>
		
		<sf:retrieve 
			username="${sfdc.Org1.username}"
			password="${sfdc.Org1.password}" 
			serverurl="${sfPRO.serverurl}"
			retrieveTarget="${root.dir}/${sfdc.Org1.retrieveTarget}"
			unpackaged="${root.dir}/${sfdc.Org1.unpackaged}"
			/> 
	</target> 

	<target name="Org2_deploy"> 
		<echo message="Deploy to Org ${sfdc.Org2.username}"/>
		<echo message="Defploy from folder - ${root.dir}\${sfdc.Org1.retrieveTarget}"/> 
			
		<sf:deploy 
			username="${sfdc.Org2.username}" 
			password="${sfdc.Org2.password}" 
			serverurl="${sfPRO.serverurl}" 
			deployRoot="${root.dir}/${sfdc.Org1.retrieveTarget}" 
			maxPoll="1000" 
			testLevel="${test.Level}"
			checkOnly="false" 
			pollWaitMillis="10000" 
			rollbackOnError="true"/>
			
	</target> 	
	
</project>	

package.xml

<?xml version="1.0" encoding="UTF-8"?>
<Package xmlns="http://soap.sforce.com/2006/04/metadata">
    <types>
        <members>Salesforce_Feature.Einstein_Wave</members>
        <members>Salesforce_Feature.Platform_Shield</members>
        <members>Salesforce_Feature.Sales_Cloud</members>
        <members>Salesforce_Feature.Service_Cloud</members>
        <name>CustomMetadata</name>
    </types>
    <types>
        <members>Salesforce_Feature__mdt</members>
        <name>CustomObject</name>
    </types>
    <version>39.0</version>
</Package>

As of sfdx-cli v45, you can do the equivalent using this one-liner:

sfdx force:source:retrieve -m "CustomObject:Salesforce_Feature__mdt,CustomMetadata:Salesforce_Feature.Einstein_Wave,CustomMetadata:Salesforce_Feature.Platform_Shield,CustomMetadata:Salesforce_Feature.Sales_Cloud,CustomMetadata:Salesforce_Feature.Service_Cloud"