Nuitka compiles Python to C, so it can make your code run faster, but you're no longer using the tried and tested CPython interpreter so you may run into Nuitka-specific issues (I haven't used it and don't know how common they are, I assume it's usable though)

PyOxidizer and pyinstaller are rather bundlers that build a CPython interpreter and all your dependencies into a single binary. There is also https://github.com/pantsbuild/pex which is a bit like jar files for Java, but it also bundles your code, dependencies and an interpreter into a single executable file.