Can you provide the compiler you are using the full verbose output by passing "-v" to mex. My guess is the directory containing mkl.h is not being passed as a include library directory. If your know where the header file is located, try manually pass it to mex with the "-I" flag such as :
mex -v -g mymex.cpp -I<header_directory>
Note that there is NO space between -I and the header directory you will provide. Also, if the directory has a space in it, you have to enclose it in single quotes.