How can I make a Python script standalone executable to run without ANY dependency?

You can use PyInstaller to package Python programs as standalone executables. It works on Windows, Linux, and Mac.

PyInstaller Quickstart

Install PyInstaller from PyPI:

pip install pyinstaller

Go to your program’s directory and run:

pyinstaller yourprogram.py

This will generate the bundle in a subdirectory called dist.

For a more detailed walkthrough, see the manual.

You can use py2exe as already answered and use Cython to convert your key .py files in .pyc, C compiled files, like .dll in Windows and .so on Linux.

It is much harder to revert than common .pyo and .pyc files (and also gain in performance!).

You might wish to investigate Nuitka. It takes Python source code and converts it in to C++ API calls. Then it compiles into an executable binary (ELF on Linux). It has been around for a few years now and supports a wide range of Python versions.

You will probably also get a performance improvement if you use it. It is recommended.