How to see diff of each commit with Visual Studio Code?

Yes, it has built in git integration. Please refer to this tutorial. There are also plethora of extensions, like Git History and Git Project Manager

Git History extension result

  1. Install the GitLens extension (or it's already installed by default)
  2. Go to the GitLens tab in the sidebar
  3. Find the row 'Search Commits'
  4. Enter the commit SHA

You'll see all files that were changed in that commit.

click to see photo!

On Windows or Mac:

Ctrl + Shift + G

Then click on the "M" (short for Modified) next to the file that you wish to view diffing on.