I focus on whether MWG is the most comprehensive textbook, it’s simply the graduate level micro textbook.

For econometrics, I’d recommend Econometric Theory by Hayashi and Microeconometrics by Cameron and Trivedi.

For macro, you’re going to get up close and personal with either Recursive Macroeconomic Theory by Sargent and Ljungqvist, or Recursive Methods in Macroeconomic Dynamics by Stokey, Lucas, and Prescott. However, since you are asking this question, you are presumably not currently a graduate student. Unless you plan to attend a PhD program in economics, do not bother with those books. They are entirely focused on the mathematical tools necessary to do modern macroeconomics, and not something that is likely to interest anyone who is not going to be an active researcher.