よくわかりませんが、
brew install libomp
pip uninstall lightgbm
pip install lightgbm
で解決しました。
More than 3 years have passed since last update.
lightgbmがdlopen(/Users/*site-packages/lightgbm/lib_lightgbm.so, 6): Library not loaded: */libomp/lib/libomp.dylib Referenced from: /Users/*/opt/anaconda3/lib/python3.6/site-packages/lightgbm/lib_lightgbm.so Reason: image not foundでエラーが出た。
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