How to test a SpO2 sensor without those expensive equipment like Spo2 Analyzers or similar ?

You can check Spo2 sensors,by a simple multimeter, check get the configuration of the pins of connector,
in it two pins are for detector and 3 for I.R and L.E.D, You put your meter of resistance option and check,
and on L.E.D checking it also blink the red light and on the others, it will show only 0.666,some think like that.