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As @Emmanuel_Charpentier hints at in his comment, this requires using Sage's Python.

If you built from source, you can call Sage's Python with sage --python.

Or you could change your path so that Sage's Python is found first. Use with caution, as other apps / scripts / uses may rely on python calling the system Python.

Note that you can install SageMath using Conda; it will install for Python 3. With the corresponding Conda environment activated, python will be the Python 3 which has SageMath installed on top of it. In that Python, from sage.all import * will work.