As long as there is no first party support in Xcode for that there are only hacks. But it works and I have been using it for quite some time.
You can follow this article and adapt it for macOS: Adding external libraries to iOS projects with the Swift Package Manager – iOS & Xcode Tutorial
Basically you create a Swift SPM package that holds all your dependencies inside your macOS project. And you add the generated Xcode project file for this umbrella project to your macOS project as a sub-project.
The main caveat is that you will have to modify the project file holding your dependencies to produce frameworks and modify some other settings. But with some form of script (like a rake-file in the article) this is not too bad.