It seems like you can profile MEX files using Visual Studio. From the menu, go to the "Analyze"-> "Profiler" -> "Attach/Detach" and attach the MATLAB.exe process. After which, you can run the MEX function and detach the process when complete.
Make sure when building the MEX file using the "mex" command, to include the -g and -O flags.
More information can be found from the following post:
