Hmm, when I try to open it I see the error message: "Legend of Xenia" is damaged and can't be opened. You should move it to the Trash.
I'm told that means the download got corrupted. You could try downloading it again and see it that works, or alternatively try grabbing it from here: https://www.dropbox.com/s/gakeugamj7vt07n/Legend%2...
Hmm.. The other guy who requested a Mac version was able to play it. It could be an issue with your connection, but I'm not sure. At any rate, here's a new attempt at a Mac build, see if this one works: https://www.dropbox.com/s/h2z5ijhmjpssuvg/Legend%2...
I think this is a Mac security settings issue. See here: http://www.tech-recipes.com/rx/45404/mac-downloade...
Will try again when I get home. Thanks for the help!