Encontrei uma solução no wiki do Pygame :
Python 3.x
#install dependencies sudo apt-get install mercurial python3-dev python3-setuptools python3-numpy python3-opengl libav-tools libsdl-image1.2-dev libsdl-mixer1.2-dev libsdl-ttf2.0-dev libsmpeg-dev libsdl1.2-dev libportmidi-dev libswscale-dev libavformat-dev libavcodec-dev libtiff5-dev libx11-6 libx11-dev fluid-soundfont-gm timgm6mb-soundfont xfonts-base xfonts-100dpi xfonts-75dpi xfonts-cyrillic fontconfig fonts-freefont-ttf # Grab source hg clone https://bitbucket.org/pygame/pygame # Finally build and install cd pygame python3 setup.py build sudo python3 setup.py install # Run some tests python3 -m pygame.tests python3 -m pygame.examples/aacircle python3 -m pygame.examples/aliens python3 -m pygame.examples/freetype_misc python3 -m pygame.examples/glcube python3 -m pygame.examples/sound python3 -m pygame.examples/stars
Você também pode verificar a instalação executando import pygame
em IDLE.