I tried to install Valgrind with brew install Valgrind and got :
valgrind: This formula either does not compile or function as expected
on macOS
You may use Experimental Version of Valgrind for macOS 10.14.5 Mojave at:
https://github.com/sowson/valgrind
The command to use it is:
brew install --HEAD https://raw.githubusercontent.com/sowson/valgrind/master/valgrind.rb
It is still experimental and needs some work but for simple projects works already... Enjoy!