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So I wanted to test this out with Python, as I want to embed Python to allow support for scripting in my app. However, as you can see in the Readme here, the build process for Windows and MacOS is a bit different (Mac involves running Make, while Windows just runs a bat file). Neither are complicated, but I originally assumed that the process would be basically the same, and I could use a CMakeLists that wasn't platform specific.
You could check Conan and Vcpkg, they can be used to provide your dependencies for all three major platform (but I think only as pre-build binaries). Or you could embed the installers of your dependencies in your own.