Just got this working about the same time you posted this.
I think the thing that got me closest to the solution was doing:
brew install hdf5
in the terminal.
And then
Pkg.build("HDF5")
in the REPL
but stuff like this is always hard to remember how to solve?
I think doing stuff like:
brew doctor
brew update
and
softwareupdate --install -a
also helped.
Good luck!
@andreasnoack @denizyuret, are those things you did to get JLD working on macs?