Is there a way to Upgrade terminal sftp client? The pre-installed sftp binary on macOS sucks. When I use my ubuntu machine, sftp has glorious things like a history and tab completion. I've looked around, and cannot tell a clear cut path to upgrading the binary. Has anyone done this? How?
Install homebrew a macOS package manager.  https://brew.sh/

HomeBrew is most often mentioned these days. sftp appears to be one of the programs you can download. 

other package managers are:
MacPort -- BSD licenses
Fink -- GNU General Public License

I'd figure out what sftp client Ubuntu uses and look around for the macOS version.