This paper investigates the uplink channel estimation of the millimeter-wave (mmWave) extremely large-scale multiple-input-multiple-output (XL-MIMO) communication system in the beam-delay domain, taking into account the near-field and beam-squint effects due to the transmission bandwidth and array aperture growth. Specifically, we model the sparsity in the delay domain to explore inter-subcarrier correlations and propose the beam-delay domain sparse representation of spatial-frequency domain channels. The independent and non-identically distributed Bernoulli-Gaussian models with unknown prior hyperparameters are employed to capture the sparsity in the beam-delay domain, posing a challenge for channel estimation. Under the constrained Bethe free energy minimization framework, we design different structures on the beliefs to develop hybrid message passing (HMP) algorithms, thus achieving efficient joint estimation of beam-delay domain channel and prior hyperparameters. To further improve the model accuracy, the multidimensional grid point perturbation (MDGPP)-based representation is presented, which assigns individual perturbation parameters to each multidimensional discrete grid. By treating the MDGPP parameters as unknown hyperparameters, we propose the two-stage HMP algorithm for MDGPP-based channel estimation, where the output of the initial estimation stage is pruned for the refinement stage for the computational complexity reduction. Numerical simulations demonstrate the significant superiority of the proposed algorithms over benchmarks with both near-field and beam-squint effects.