I encountered this issue whilst trying to build an executable on Mac OS that contains the QSQLite plugin.
I have attached a copy of my setup.py file used to build the application.
Basically it copies the required plugin to a "sqldrivers" directory which is placed inside the application bundle at "Contents/MacOS/"
The Plugin has various dependencies (which can be found using otool) that point outside the app bundle. Using install_name_tool to change these to @executable_path references fixes the issue.
Thomas advised that it may be an issue with cx_Freeze.macdist.setRelativeReferencePaths() not recursively looking into subdirectories.