I have used Scipy for some time. This is the first time I am using it for Signal processing! But when I import modules like
from scipy import signal
from sci
Similar to the OP, I already had the Intel MKL libraries installed on my system. I was unable to load scipy.linalg with the same error message. I uninstalled the old version of numpy and scipy (which I installed before installing the Intel compilers and math libraries). Then ran pip install scipy, and magically I could now import scipy.linalg without the error.
I'm not entirely sure what caused it, and why it was unable to find the library it needed. But it somehow fixed the problem for me on Python 3.7.1 with Anaconda.