Follow the steps in dep_script.sh with following modifications.
In most cases you don't need to be root (use sudo)
Use conda where possible. For example
conda install opencv
Use brew to install SDL:
brew update
brew upgrade
brew install sdl sdl_gfx sdl_image
Make sure you don't have an old SDL framework:
sudo rm -rf /Library/Frameworks/SDL.framework
If you want to display the simulator on screen (e.g. run ale_run_watch.py)
you should install pygame:
hg clone https://bitbucket.org/pygame/pygame
cd pygame
pip install .