I'm the author of LikeMagic, a C++ binding library for the Io language. (I am not the author of Io.)
http://github.com/dennisferron/LikeMagic
One of my explicit goals with LikeMagic is complete and total C++ interoperability, in both directions. LikeMagic will marshal native Io types as C++ types (including converting between STL containers and Io's native List type) and it will represent C++ classes, methods, fields, and arrays within Io. You can even pass a block of Io code out of the Io environment and use it in C++ as a functor!!
Wrapping C++ types up for consumption in Io script is simple, quick and easy. Accessing script objects from C++ does require an "eval" function like you described, but the template based type conversion and marshaling makes it easy to access the result of executing a script string. And there is the aforementioned ability to turn Io block() objects into C++ functors.
Right now the project is still in the early stages, although it is fully operational. I still need to do things like document its build steps and dependencies, and it can only be built with gcc 4.4.1+ (not Microsoft Visual C++) because it uses C++0x features not yet supported in MSVC. However, it does fully support Linux and Windows, and a Mac port is planned.
Now the bad news: Making the scripts produce .h files and .so or .dll files callable from C++ would not only require a compiler (of a sort) but it would also have to be a JIT compiler. That's because (in many scripting languages, but most especially in Io) an object's methods and fields are not known until runtime - and in Io, methods can even be added and removed from live objects! At first I was going to say that the very fact that you're asking for this makes me wonder if perhaps you don't really understand what a dynamic language is. But I do believe in a way of design in which you first try to imagine the ideal or easiest possible way of doing something, and then work backwards from there to what is actually possible. And so I'll admit from an ease-of-use standpoint, what you describe sounds easier to use.
But while it's ideal, and just barely possible (using a script language with JIT compilation), it isn't very practical, so I'm still unsure if what you're asking for is what you really want. If the .h and .so/.dll files are JITted from the script, and the script changes, you'd need to recompile your C++ program to take advantage of the change! Doesn't that violate the main benefit of using script in the first place?
The only way it is practical would be if the interfaces defined the scripts do not change, and you just are making C++ wrappers for script functions. You'd end up having a lot of C++ functions like:
int get_foo() { return script.eval("get_foo()"); }
int get_bar() { return script.eval("get_bar()"); }
I will admit that's cleaner looking code from the point of view of the callers of the wrapper function. But if that's what you want, why not just use reflection in the scripting language and generate a .h file off of the method lists stored in the script objects? This kind of reflection can be easily done in Io. At some point I plan to integrate the OpenC++ source-to-source translator as a callable library from LikeMagic, which means you could even use a robust C++ code generator instead of writing out strings.