I have used Steam on Linux for some time, of course many games are Win only but the choice on Linux is not bad, I guess the situation has improved thanks to the introduction of SteamOS.

In addition, often you can play Win games using Wine, while on a Mac [EDIT: the following is true only if the game needs Vulkan or OpenGL > 4.1] the only way would be using bootcamp (which means you have to reboot every time you want to play).

Disclaimer: I haven't used Mac OS in recent times so I may be unaware of other solutions.