Installing sshfs on mac is a bit roundabout so I'm outlining the path here. The general idea is to enable system extensions, then install macfuse and finally install sshfs.
The first thing is to enable the system extensions function which requires you to restart the mac and put it in recovery mode. This is done by holding the power button as the machine turns on.
The you can click through to get to the recovery system.
Utilities -> Startup Security Utility -> Security Policy -> Reduced Security
This will prompt for the password and then apply the new settings. Once this is done restart.
Now you can download the dmg from the macFuse site.
Install this application and it will ask you to enable the system extensions. This will cause another restart to happen.
Once the mac restarts, you can run through the installer for sshfs.