It depends on which third-party libraries you include in your program.
For example, I never managed to create a Windows executable with PyQt lib using py2exe. But that was 2-3 years ago, and everything could change.
Also, do not create hard codes in your program and use functions such as os.path.join
Do not make assumptions about configuration files, etc. Check the runtime of the platform; your program works and acts accordingly.
In general, your biggest problem will be the Windows platform.
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