I am using PIP to install Scipy with MKL to accelerate the performance. My OS is Ubuntu 64 bit. Using the solution from this question, I create a file .numpy-site.cfg
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There are now numpy/scipy wheels for linux that use a openblas compiled for avx2, so you can get much better performance without building packages. You may need to upgrade pip to get it to install the wheel:
pip install --upgrade pip
pip install numpy scipy
If you want MKL, then you can install Anaconda or Intel Distribution for Python. They use conda instead of pip to manage packages, but they are free and distribute packages that contain all the dependences, including MKL.