I tried the following on my Debian installation using MATLAB R2015a:
ylabel('y = e^x')
as well as using the LaTeX interpreter:
xlabel('$x$', 'Interpreter', 'latex')
ylabel('$y = e^x$', 'Interpreter', 'latex')
In both cases, the resulting EPS looked fine when I viewed it with "Document Viewer".
Can you post how you are setting up your figure, the FIG and EPS files, as well as the print command you are using to create the EPS file? There may be something that I am missing in my reproduction steps.