Like many, I have MacVim installed through Homebrew Cask. When I first started using MacVim, I had to change the font to a powerline supported font so that my Airline looks spiffy.
To do that I went to
Edit -> Font -> Show Fonts and selected a font.
Unfortunately this setting gets wiped out with each update of MacVim, and since it updates often, which is great, having to set the font over and over is not.
To have your font setting persisted in MacVim add this to your .gvimrc:
set guifont=Source\ Code\ Pro\ for\ Powerline:h24
You can set what ever font you like, just make sure to escape the spaces with a slash.
To get powerline (and Airline) patched fonts go here: https://github.com/powerline/fontsTweet