When you install MacVim, you have the option of installing command line integration. This basically puts an mvim shell script somewhere in your path, usually /usr/local/bin/mvim. Git has a list of mergetools that it knows about; gvimdiff is in the list, which expects gvim to be in the path.
First, figure out where your mvim script lives, then add a gvim link.
$ which mvim
/usr/local/bin/mvim
$ cd /usr/local/bin
$ ln -s mvim gvim
$ ls -l gvim