Intel's current MKL version is 11.3.1, while MATLAB uses version 11.1.1. If you would like to use the latest version with MATLAB, you can use the batch script to automate the process. To execute via cmd.exe on Windows, the text commands are
cd "C:\Program Files (x86)\Intel\Composer XE 2015\mkl\bin\"
@call mklvars.bat intel64 && set BLAS_VERSION=mkl_rt.dll && set LAPACK_VERSION=mkl_rt.dll
"C:\Program Files\MATLAB\R2014b\bin\matlab.exe"
You may need to modify the program locations. If you start MATLAB via it's usual start menu shortcut, MATLAB will use the version of MKL that it shipped with. Thus you can use both the default MKL version (by starting MATLAB like you're used to) or the current MKL version with the cmd script. To verify your MKL version, type "version -blas" and "version -lapack" in MATLAB.

In my tests, 11.3.1 speeds up MATLAB's BLAS routines by about 20%.