Install and activate CyberGhost VPN on your Mac. If you don't know, how to do this, please refer to our instructions here.
The 'Internet Connection Sharing' function allows to use an encrypted VPN connection with different devices in your local network. For that you need to connect the respective device, in this case your Xbox console, to your Mac using a crossover cable.
Please note that your Mac needs to have two network cards, one for a connection to your router (to the Internet) and one for the connection to your game console. Alternatively you can use a wireless LAN, either from your Mac to the router or from the console to your Mac (or both).
The first settings have to be made on the host computer, that is the Mac, which encrypted Internet connection should be used by the Xbox:
Go to 'System Preferences' at the bottom of the home screen, open 'Sharing' and tap on 'Internet Sharing'.
Open the drop down menu titled 'Share Your Connection From' and select your established Internet connection. This could either be 'Ethernet' (cable connection), 'AirPort' or 'Wireless'. Make sure to choose the right source.
Click on the drop down menu titled 'To computer using' and select 'Ethernet' (since you want to connect your Xbox with a cable to your Mac). The Internet Sharing icon should now turn to green, symbolizing a working sharing connection.
The options to be set can be found in menu entries like ‚Network‘ and ‚Internet‘. So first open your 'Settings' menu and switch to 'System'.
Open 'Network Settings' and choose, if you either want to set up a cable connection or a Wi-Fi connection. In case of an Ethernet connection all settings will be adjusted automatically, in case of a Wi-Fi connection you additionally need to enter the correct password set for the wireless network of the Mac.
If you use a Wi-Fi connection from your Xbox to your Mac AND from your Mac to your router, make double sure you don't accidently connect the Xbox directly to the router.
Please also note that older versions of your game console might only have an Ethernet port and therefor need a WiFi hardware add on in order to establish a wireless connection.
Now open 'Configure network' and tap 'A' on your controller. In the next window you can change your IP settings. Do so by switching to 'Manually'.
Enter an IP address. This address must be unique in your network. In case you don't know how many devices you run and which IP addresses already are in use, open your router's web interface and check on all addresses. The address for the Xbox will look similar to something like 192.168.xxx.xxx.
Enter the subnet mask, usually 255.255.255.0, which should also be the subnet mask of your gateway.
At last enter the gateway address, which is the IP address of your Mac with the running CyberGhost connection.