There are quite a few tools available on Linux that can be integrated into the system. On macOS there is only Filevault in the system.
If you are willing to install osxfuse then macOS gains a lot more possibilities.
Some solutions currently available:
CipherShed is free (as in free-of-charge and free-speech) encryption software for keeping your data secure and private. It started as a fork of the now-discontinued TrueCrypt Project. Learn more about how CipherShed works and the project behind it.
CipherShed is cross-platform; It is available for Windows, Mac OS X and GNU/Linux. Although, as packages for OS X and Linux do not exist, yet, users of those platforms will need to compile CipherShed.
BestCrypt Container Encryption
Lock up your private data - Use BestCrypt Container Encryption to encrypt files and folders on Windows, Mac OS and Linux.
The SecurStick program for Windows, Mac OS X and Linux has been developed as part of the c't article Encryption Service (c't 6/2010 p.170) and allows the encryption of data on USB sticks and others media.
And an alternative fork of truecrypt (that seems to have lost momentum): Gostcrypt
After listing these options there is the difficulty of integration to consider.
In my opinion veracrypt gives the least trouble when working cross platform. It's free, apparently well supported, actively developed and audited. They even have a canary online.
EncFS seems currently not such a good option. But at least it was audited and the problems may have been rectified by now. EncFS works easy on Mac and Linux and restarted development this year. The wikipedia page about EncFS lists the features and Prism-Break recommends it now for both: Linux and macOS. Install EncfS via e.g. homebrew. A GUI-Wrapper increases the comfort (but the provided binary is unstable on 10.12+). For Nautilus integration have a look at EncFS easy, fast and reliable.
If integration into Finder is most important then you might stick with Filevault on the macOS side and try to teach your Ubuntu some new tricks regarding decrypting Filevault with libfvde. That should be available in your standard package repositories and is not that non standard in usage.
libfvde's support status is officially:
libfvde is a library to access FileVault Drive Encryption (FVDE) (or FileVault2) encrypted volumes.
The FVDE format is used by Mac OS X, as of Lion, to encrypt data on a storage media volume.
Supported FileVault2 implementations:
Mac OS X Lion (10.7)
Mac OS X Mountain Lion (10.8)
Mac OS X Mavericks (10.9)
Mac OS X Yosemite (10.10)
Mac OS X El Capitan (10.11)
But that information might be outdated by now since there was a release just 4 days ago.
Further options might exit here: "What are current cross-platform disk encryption options?" Or just using encrypted archives like zip files.