So using the Command Palette, I specified my intended Python interpreter already. This is reflected correctly in the status bar on the bottom left.

However, when I run the code above, it attempts to use another Python interpreter. This is clearly reflected in the Python error - it tries to run a Python 2.7 interpreter, and so it tells me that I need to install xlrd, even though I already have it installed in the right Python interpreter.
Can't seem to find anyone else having similar problems. The exact same code runs fine in another IDE like Spyder.
When i do:
import sys
print(sys.version)
It shows me the right version.
My code actually runs when I run each cell individually. It's when I run everything together (Ctrl-Alt-N) where I start seeing this error.