If you’re already familiar with partitioning the drive then you can continue, if not I advise you to check my previous posting and come back here later.
So I am assuming you already have a FAT partition on your USB thumb drive that is around 4GB in size. All you need to do now is download the file at this link. These files are what is created by the free tool “Mac Linux USB Loader”
After you extract thee files, copy the whole root folder (titled efi) to your USB drive partition. Inside the efi folder, is another folder called boot. Inside this you you will find several files. All you now need to do is download the Kali Linux .iso image file. Rename the downloaded file to be “boot.iso” and then copy this inside the boot folder on the USB thumb drive. That’s pretty much all there is to it, go ahead and reboot your mac holding down the option key and you should have the efi boot menu as an option from where you can boot into your Linux distribution.
In theory this will work with any Debian based Linux (such as Ubuntu for example). You just follow the same procedure. There will be some manual editing required to the enterprise.cfg file so that the correct Linux distribution name is displayed but this is easily done within text edit on OSX.
In the files that I have provided the enterprise.cfg file has been edited already to allow for persistence booting of Kali Linux, so that the changes you make and files you create are saved for the next session. However, in order to make this function work there are a few procedures you need to follow in addition to the above. This involves creating a new partition for storing the persistence data on, and creating a mount point for this. All of this procedure can be found here.
The video below also gives a comprehensive overview of setting up the Kali Linux USB Live Drive as well as partitioning the disk correctly and configuring the persistence partitions.