Installing Pygrib with pip (pip install pygrib):

Collecting pygrib
  Using cached https://files.pythonhosted.org/packages/f8/10/c0d22eafec62fb5413799a7034ac45f26bfa77405c8527c17869e4c3ee4d/pygrib-2.0.4.tar.gz
Requirement already satisfied: numpy in ./lib/python3.7/site-packages (from pygrib) (1.16.4)
Installing collected packages: pygrib
  Running setup.py install for pygrib ... error
    ERROR: Complete output from command /home/python3/bin/python3.7 -u -c 'import setuptools, tokenize;__file__='"'"'/tmp/pip-install-qcxz0945/pygrib/setup.py'"'"';f=getattr(tokenize, '"'"'open'"'"', open)(__file__);code=f.read().replace('"'"'\r\n'"'"', '"'"'\n'"'"');f.close();exec(compile(code, __file__, '"'"'exec'"'"'))' install --record /tmp/pip-record-qd474uhl/install-record.txt --single-version-externally-managed --compile:
    ERROR: /tmp/pip-install-qcxz0945/pygrib/setup.py:41: DeprecationWarning: The SafeConfigParser class has been renamed to ConfigParser in Python 3.2. This alias will be removed in future versions. Use ConfigParser directly instead.
      config = _ConfigParser()
    running install
    running build
    running build_py
    creating build
    creating build/lib.linux-x86_64-3.7
    copying ncepgrib2.py -> build/lib.linux-x86_64-3.7
    running build_ext
    building 'pygrib' extension
    creating build/temp.linux-x86_64-3.7
    gcc -pthread -Wno-unused-result -Wsign-compare -DNDEBUG -g -fwrapv -O3 -Wall -fPIC -I/home/python3/lib/python3.7/site-packages/numpy/core/include -Ig2clib_src -I/home/python3/include/python3.7m -c pygrib.c -o build/temp.linux-x86_64-3.7/pygrib.o
    In file included from /home/python3/lib/python3.7/site-packages/numpy/core/include/numpy/ndarraytypes.h:1822:0,
                     from /home/python3/lib/python3.7/site-packages/numpy/core/include/numpy/ndarrayobject.h:12,
                     from /home/python3/lib/python3.7/site-packages/numpy/core/include/numpy/arrayobject.h:4,
                     from pygrib.c:613:
    /home/python3/lib/python3.7/site-packages/numpy/core/include/numpy/npy_1_7_deprecated_api.h:17:2: aviso: #warning "Using deprecated NumPy API, disable it with " "#define NPY_NO_DEPRECATED_API NPY_1_7_API_VERSION" [-Wcpp]
     #warning "Using deprecated NumPy API, disable it with " \
      ^
    pygrib.c:614:22: error fatal: grib_api.h: No existe el fichero o el directorio
     #include "grib_api.h"
                          ^
    compilación terminada.
    error: command 'gcc' failed with exit status 1
    ----------------------------------------
ERROR: Command "/home/python3/bin/python3.7 -u -c 'import setuptools, tokenize;__file__='"'"'/tmp/pip-install-qcxz0945/pygrib/setup.py'"'"';f=getattr(tokenize, '"'"'open'"'"', open)(__file__);code=f.read().replace('"'"'\r\n'"'"', '"'"'\n'"'"');f.close();exec(compile(code, __file__, '"'"'exec'"'"'))' install --record /tmp/pip-record-qd474uhl/install-record.txt --single-version-externally-managed --compile" failed with error code 1 in /tmp/pip-install-qcxz0945/pygrib/

Numpy (1.16.4)
Python (3.7.3)
Pip (19.1.1)