TL;DR: The conformal boundary of (Euclidean) $AdS_{d+1}$ is easiest to analyse in stereographic coordinates (3), cf. Ref. 1. The bulk of $AdS_{d+1}$ is isomorphic to an open ball $B_{d+1}=\{y\in\mathbb{R}^{d+1}\mid y^2<1\}$ Hence the conformal boundary is isomorphic to a sphere $S^d=\{y\in\mathbb{R}^{d+1}\mid y^2=1\}$. Beware that the $AdS$ metric (4) becomes singular on the conformal boundary (5).
Embedding coordinates $(X^{-1},X^M)$ or $(X^{\pm},X^{\mu})$:
$$\begin{align} -R^2~=~&-(X^{-1})^2+\sum_{M=0}^dX_M X^M~=~-X^+X^-+\sum_{\mu=0}^{d-1}X_{\mu} X^{\mu},\cr
X^{\pm}~:=~&X^{-1}\pm X^d~>~0, \qquad X^{-1}~>~0,
\end{align} \tag{1}$$
where $R$ is the $AdS$ radius.
Poincare coordinates $(x^{\mu},z)$:
$$\begin{align}
X^+ ~=~& \frac{x^2}{z} + z
\quad\Rightarrow\quad
dX^+ ~=~ \frac{2x_{\mu}dx^{\mu}}{z} - \frac{x^2 dz}{z^2} +dz, \cr
X^- ~=~& \frac{R^2}{z}
\quad\Rightarrow\quad
dX^- ~=~ -\frac{R^2 dz}{z^2}, \cr
X^{\mu} ~=~& \frac{Rx^{\mu}}{z}
\quad\Rightarrow\quad
dX^{\mu} ~=~ \frac{Rdx^{\mu}}{z} - \frac{Rx^{\mu}dz}{z^2},\cr
x^2~:=~&\sum_{\mu=0}^{d-1}x_{\mu}x^{\mu}, \qquad z~>~0.\end{align}\tag{2}$$
Stereographic coordinates $(y^M)$:
$$\begin{align}
X^M ~=~& R\frac{2y^M}{1-y^2}
\quad\Rightarrow\quad
dX^M ~=~ 2R\frac{dy^M}{1-y^2} + 4Ry^M\frac{y_Ndy^N}{(1-y^2)^2}\cr
X^{-1} ~=~& R\frac{1+y^2}{1-y^2}~>~R
\quad\Rightarrow\quad
dX^{-1} ~=~ 4R\frac{ y_Mdy^M}{(1-y^2)^2}
\cr
y^2~:=~&\sum_{M=0}^{d}y_My^M~<~1.\end{align}\tag{3}$$
Metric tensor:
$$\begin{align} ds^2
~=~& -dX^{-1}dX^{-1} + dX_M dX^M \cr
~=~& -dX^+ dX^- + dX_{\mu}dX^{\mu}\cr
~=~& R^2\frac{dz^2 + dx_{\mu}dx^{\mu}}{z^2} \cr
~=~& 4R^2 \frac{dy_M dy^M}{(1-y^2)^2}.\end{align}\tag{4}$$
The conformal boundary $S^d$ corresponds to
$$y^2~=~1 \quad\Leftrightarrow\quad X^{-1}=\infty \quad\Leftrightarrow\quad z~=~0~\vee~z~=~\infty. \tag{5}$$
It is a conformal compactification of the $x$-spacetime $\mathbb{R}^d$.
References:
- E. Witten, Anti De Sitter Space And Holography, arXiv:hep-th/9802150; p.4-5.
- J.L. Petersen, Introduction to the Maldacena Conjecture on AdS/CFT, arXiv:hep-th/9902131; p.4.
- J. Kaplan, 2013 Lectures on AdS/CFT from the Bottom Up; section 5.2. (NB: Some eqs. in the PDF file are corrupted by some left parentheses.)