Nuitka (nuitka.net) does that for python, and is very robust and compatible. It works way better than py2exe, cx_freeze, etx, and is cross platform. However, the result, even for small scripts, is not what I would qualify as "small" :)

How does Nuitka compare for generated executable sizes with PyInstaller? I've used the latter. For small Python scripts, CLI or wxPython, it created EXEs (Windows) in the range of 10 MB in size - with the all-code-in-one-file option.