This is from the official Sphinx documentation. If you have pdfTex tool installed in your machine, all you need is:

$ make latexpdf

Then, the generated pdf file(s) will be under _build/latex/<PROJECT-NAME>.pdf

So, the complete process from scratch would be as follows:

$ pip install -U sphinx # install the package
$ sphinx-quickstart # create a new project (answer the questions)
$ make latexpdf # compile and generate pdf file

Note that you may also "optionally" install whatever extensions needed by editing the file config.py

NOTE: This answer assumes LaTeX engine is installed on your machine.