Installation via conda was successful but cannot import module:
>>> import pyro Traceback (most recent call last): File "", line 1, in ModuleNotFoundError: No module named 'pyro'
pip3 install pyro-ppl is not using your conda environment when installing those python packages, but rather the location -
/Library/Frameworks/Python.framework/Versions/3.6/lib/python3.6/site-packages. Once you have created a conda environment with python=3.6, pip (not pip3) should just work out of the box, and you should be able to install using pip install pyro-ppl (no need for pip3).
Ref: Github issue