I normally don't delve too much into the programmatic details of my work, but I've seen enough interest in this topic that I figured I'd lend a helping hand to those fellow frustrated souls.

There are a few awkward, non-native MEX implementations of various database interfaces.  However, Matlab has its own database toolbox built around ODBC/JDBC, and when developing distributable software, one always hopes to minimize third-party library usage.  As a result, I've put a good deal of effort into integrating Matlab with both MySQL and SQLite.  In fact, the data for every post on this site is stored in a 2GB MySQL database server running on my laptop.

As you can see, this requires only that you distribute the platform-independent JAR.  No DLLs, no MEX compilation.

% Database Server
host = 'localhost';
% Database Username/Password
user = 'user';
password = 'password';

% Database Name
dbName = 'assets'; 
% JDBC Parameters
jdbcString = sprintf('jdbc:mysql://%s/%s', host, dbName);
jdbcDriver = 'com.mysql.jdbc.Driver';

% Set this to the path to your MySQL Connector/J JAR
javaaddpath('mysql-connector-java-5.1.6-bin.jar')

% Create the database connection object
dbConn = database(dbName, user , password, jdbcDriver, jdbcString);

% Check to make sure that we successfully connected
if isconnection(dbConn)
    % Fetch the symbol, market cap, and last close for the 10 largest
    % market cap ETFs
    result = get(fetch(exec(dbConn, 'SELECT info.symbol,info.marketcap,series.close FROM info, series WHERE info.type=''ETF'' AND info.id = series.symbolid AND series.date = ''2008-04-11'' ORDER BY marketcap DESC LIMIT 10')), 'Data');
    disp(result);
% If the connection failed, print the error message
else
    disp(sprintf('Connection failed: %s', dbConn.Message));
end

% Close the connection so we don't run out of MySQL threads
close(dbConn); 
 
Output:
    'SPY'     [8.2300e+010]    [133.3800]
    'EFA'     [4.5420e+010]    [ 72.6400]
    'EEM'     [2.3850e+010]    [139.3400]
    'GLD'     [1.9260e+010]    [ 91.3000]
    'QQQQ'    [1.7040e+010]    [ 44.2800]
    'IVV'     [1.6410e+010]    [133.5200]
    'IWF'     [1.2860e+010]    [ 55.2500]
    'DIA'     [1.0830e+010]    [123.3400]
    'IWM'     [1.0470e+010]    [ 68.7200]
    'VTI'     [9.7800e+009]    [132.2900]