It has been over a year since I asked this question myself. A few classes later into Command Line and Python I know 'somewhat' better what I am doing, and now came back to share the answer to this:
The problem here is that the versions of python that Sublime are using are not the same ones that my Command Line or my Jupyter Notebook are using. These 2 are using anaconda3/bin/python3. So the solution to this problem is to have Sublime use a Build that is pointing to this python (where the modules like openpyxl are installed).
On Sublime Text > Tools > Build System > New Build System...
Use this:
{
"cmd": ["path_to_your_desired_python_version", "-u", "$file"],
"file_regex": "^[ ]*File \"(…*?)\", line ([0–9]*)",
"selector": "source.python"
}
and change "path_to_your_desired_python_version" to point to your desired version of python.
Now save the build you just created, for example "Python3.7X.sublime-build".
From now on, you can select that build in Tool > Build Systems.