As I don't use macOS, I unfortunately can't provide a lot of assistance with XCode.
In general, make sure the framework exist at the path where the compiler/linker is looking for them.
What we recommend is to use the
SFML CMake Template, as it will build SFML for you and ensure that it's correctly linked to your project.
CMake will allow you to use any other IDE on macOS if you want or you can generate XCode project files.