I installed oh-my-zsh as suggested in http://ohmyz.sh/. FYI,
[~]$ zsh --version
zsh 5.0.8 (x86_64-apple-darwin15.0)
[~]$ echo $SHELL
/bin/zsh
[~]$ ls .oh-my-zsh/
I had a similar issue but I resolved it by executing the command chsh -s /bin/zsh
in the terminal,then navigated to
Terminal -> Preferences -> General window
and changed the Shells open with: option to Default login shell while the command (complete path) set to /bin/zsh.This should solve your problem.