fatal error: openssl/opensslv.h: No such file or directory compilation terminated, error: command 'x86_64-linux-gnu-gcc' failed with exit status 1

Error:
build/temp.linux-x86_64-2.7/_openssl.c:434:30: fatal error: openssl/opensslv.h: No such file or directory
    compilation terminated.
    error: command 'x86_64-linux-gnu-gcc' failed with exit status 1
   

Workaround:

The other answers only address the dependencies to make the errors you mentioned go away. The list of all dependencies needed is actually much longer.

You can install them all with:

sudo apt-get install python-pip python-dev libffi-dev libssl-dev libxml2-dev libxslt1-dev libjpeg8-dev zlib1g-dev

Then you can install mitmproxy:

sudo pip install mitmproxy

And run it:

mitmproxy

Source: the documentation