See my answer there - basically, you have to first import the .mat file, then you have to turn it from (e.g.) Numpy into Sage.
To the experts: however, I noticed some things while doing this.
import numpy
L = numpy.array([[1.0,2.0]])
matrix(L)
works, but
import numpy
L = numpy.array([1.0,2.0])
matrix(L)
Okay, I get why, but maybe we should at least have a better error message? Or can we assume that such arrays *should* be convertible to matrices?