In waiting, I have found the following solution in 3 steps:
run(`install_name_tool -change @rpath/libiomp5.dylib @loader_path/libiomp5.dylib $(Pkg.dir("Conda", "deps/usr/lib/libmkl_intel_thread.dylib"))`)
Conda.update()
Pkg.build("PyCall")
It is suggested by ‘slowbrain’ here:
Thanks a lot!