The easy route

Install Homebrew. See the instructions at brew.sh
Install wrk:

brew install wrk

That's it.

The longer version: compiling wrk from source

Go to the Mac App Store and install OSX developer tools, i.e., Xcode.
Ensure that you have the Xcode command line tools installed.

xcode-select --install

Install Homebrew. See the instructions at brew.sh
Install OpenSSL latest lib. This will put lib files and *.h files on your OSX box

brew install openssl

If you do not have git then install it

brew install git

Ensure that the search order for OpenSSL and brew is ahead of system bin
You can do the last step by putting this in your ~/.profile

export PATH=/usr/local/bin:/usr/bin:/bin:/usr/sbin:/sbin

Note that brew installs packages to /usr/local/bin
Download the source code

git clone https://github.com/wg/wrk.git
cd wrk

Now you need to edit the Makefile and add a few things

Change the first two lines from:

CFLAGS  := -std=c99 -Wall -O2 -D_REENTRANT
LIBS    := -lpthread -lm -lcrypto -lssl

To:

CFLAGS  := -std=c99 -Wall -O2 -D_REENTRANT -I/usr/local/opt/openssl/include
LIBS    := -lpthread -lm -lcrypto -lssl -L/usr/local/opt/openssl/lib

Note the last step just adds the libs and headers to the OpenSSL that brew installed.
Now run make

make

Expected output

$ make
Building LuaJIT...
HOSTCC    host/minilua.o
HOSTLINK  host/minilua
DYNASM    host/buildvm_arch.h
HOSTCC    host/buildvm.o
HOSTCC    host/buildvm_asm.o
HOSTCC    host/buildvm_peobj.o
HOSTCC    host/buildvm_lib.o
HOSTCC    host/buildvm_fold.o
HOSTLINK  host/buildvm
BUILDVM   lj_vm.s
ASM       lj_vm.o
CC        lj_gc.o
BUILDVM   lj_ffdef.h
CC        lj_err.o
CC        lj_char.o
BUILDVM   lj_bcdef.h
CC        lj_bc.o
CC        lj_obj.o
CC        lj_str.o
CC        lj_tab.o
CC        lj_func.o
CC        lj_udata.o
CC        lj_meta.o
CC        lj_debug.o
CC        lj_state.o
CC        lj_dispatch.o
CC        lj_vmevent.o
CC        lj_vmmath.o
CC        lj_strscan.o
CC        lj_api.o
CC        lj_lex.o
CC        lj_parse.o
CC        lj_bcread.o
CC        lj_bcwrite.o
CC        lj_load.o
CC        lj_ir.o
CC        lj_opt_mem.o
BUILDVM   lj_folddef.h
CC        lj_opt_fold.o
CC        lj_opt_narrow.o
CC        lj_opt_dce.o
CC        lj_opt_loop.o
CC        lj_opt_split.o
CC        lj_opt_sink.o
CC        lj_mcode.o
CC        lj_snap.o
CC        lj_record.o
CC        lj_crecord.o
BUILDVM   lj_recdef.h
CC        lj_ffrecord.o
CC        lj_asm.o
CC        lj_trace.o
CC        lj_gdbjit.o
CC        lj_ctype.o
CC        lj_cdata.o
CC        lj_cconv.o
CC        lj_ccall.o
CC        lj_ccallback.o
CC        lj_carith.o
CC        lj_clib.o
CC        lj_cparse.o
CC        lj_lib.o
CC        lj_alloc.o
CC        lib_aux.o
BUILDVM   lj_libdef.h
CC        lib_base.o
CC        lib_math.o
CC        lib_bit.o
CC        lib_string.o
CC        lib_table.o
CC        lib_io.o
CC        lib_os.o
CC        lib_package.o
CC        lib_debug.o
CC        lib_jit.o
CC        lib_ffi.o
CC        lib_init.o
AR        libluajit.a
CC        luajit.o
BUILDVM   jit/vmdef.lua
LINK      luajit
OK        Successfully built LuaJIT
CC src/wrk.c
CC src/net.c
CC src/ssl.c
CC src/aprintf.c
CC src/stats.c
CC src/script.c
CC src/units.c
CC src/ae.c
CC src/zmalloc.c
CC src/http_parser.c
LUAJIT src/wrk.lua
LINK wrk