If an app is not from the Mac App Store
If you see a dialog stating “The app is not from the Mac App Store,” the app you tried to open wasn’t downloaded from the Mac App Store and hasn’t been reviewed. This doesn’t necessarily mean that there is something wrong with the app.
You can choose to override your security settings and open the app anyway.
In the Finder
on your Mac, locate the app you want to open.Most apps can be found in the Applications folder.
Control-click the app, then choose Open from the shortcut menu.
Click Open.
The app is saved as an exception to your security settings, and you can open it in the future by double-clicking it, just as you can any authorized app.
You can change which apps can open on your Mac in Privacy & Security settings.
Choose Apple menu 
in the sidebar, then go to Security. (You may need to scroll down.)
Open Privacy & Security settings for me
For more information about protecting your Mac from harmful software, see Protect your Mac from malware.