I have created an example embedding of julia into matlab via a mex 
function, available as a gist:

https://gist.github.com/twadleigh/387f7aeb9707226d7d18

which I have working from a nightly win64 install (patched with the extra 
libuv headers).

I'm building via cygwin using the mingw32 compiler.

I say it's working, but with one caveat: it only works when I launch MATLAB 
from the cygwin prompt. I presume that is because there are some extra 
linker flags that I'm not throwing. Is there a windows expert out there 
that might be able to shed some light on how to make this DLL happy 
regardless of how I launch matlab?

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