In Windows, I created a Conda virtual environment with the command
conda create -n test python=2.7 pandas scipy matplotlib numpy
Once it is
Unlike @Rafael, for me, libiomp5md.dll wasn't the issue. I installed Dependency Walker to investigate what was going on. Even though the dll versions were different, but Dependency Walker said it was okay.
What was wrong though, was that mkl_intel_thread.dll had warnings (red icon). If you're using Win 8++, ignore the api-win and ext-ms issues as Dependency Walker wasn't updated for new Windows versions and doesn't recognise Windows new APIs.
My solution is to copy all mkl_*.dlls from the former to the latter:
I was able to import numpy and sklearn after that.