The current FindPythonLibs does not handle use of Anaconda Python.
This is some basic code to figure out which version of the Anaconda Python libs/executables to use.
Adding the following line to your CMakeLists.txt should do the trick.
# ensure the script is in your cmake module path
include(FindPythonAnaconda)
After running this you should see something along the form of
Found anaconda root directory /Users/Jiri/anaconda
Using anaconda root environment
PYTHON_INCLUDE_DIR = /Users/Jiri/anaconda/include/python3.4m
PYTHON_LIBRARY = /Users/Jiri/anaconda/lib/libpython3.4m.dylib
If you switch to a different anaconda env, it should be automatically picked up, e.g.
$ source activate py27
discarding /Users/Jiri/anaconda/bin from PATH
prepending /Users/Jiri/anaconda/envs/py27/bin to PATH
When rerunning the cmake script, the new environment is picked up
Found anaconda root directory /Users/Jiri/anaconda
Using anaconda root environment
PYTHON_INCLUDE_DIR = /Users/Jiri/anaconda/include/python2.7
PYTHON_LIBRARY = /Users/Jiri/anaconda/lib/libpython2.7.dylib