There are several grades of denatured alcohol, but the denaturants used are generally similar. The formulation for completely denatured alcohol, according to British regulations is typical:
Completely denatured alcohol must be made in accordance with the following formulation: with every 90 parts by volume of alcohol mix 9.5 parts by volume of methanol or a substitute for methanol and 0.5 parts by volume of crude pyridine, and to the resulting mixture add mineral naphtha (petroleum oil) in the proportion of 3.75 litres to every 1000 litres of the mixture and synthetic organic dyestuff (methyl violet) in the proportion of 1.5 grams to every 1000 litres of the mixture.
Paula's Choice on denatured alcohol:
'When you see (denatured alcohol) listed among the first six ingredients on an ingredient label, without question they will aggravate and be cruel to skin. No way around that, it’s simply bad for all skin types. Consequences include dryness, erosion of the surface of skin (that’s really bad for skin), and a strain on how skin replenishes, renews, and rejuvenates itself. Alcohol just weakens everything about skin.
The Paula's Choice comment is correct. It is best to avoid denatured alcohol entirely if possible.