By default : athena policies are not added to Sagemaker default role.
pip install pyathena
from pyathena import connect
import pandas as pd
conn = connect(s3_staging_dir = 's3://deb-sagemkaer-output', region-name = 'us-east-1')
df = pd.read_sql("SELECT * from debtest.deb_startrek_data;",conn)
df
More details are in AWS Blog here