Remarkably, MATLAB does not have in-built support for exporting figures as EPS files with placeholders plus a TEX file (hence allowing LaTeX to do the typesetting).  But there are some user-submitted scripts.  The most promising looks to be matlabfrag.

After producing a figure in MATLAB, output an  `.eps` file like this:

And then in the LaTeX document use `\psfragfig{filename}` (no suffix; just the base of the filename) to insert the figure. You’ll also need to add `\usepackage{graphicx}` and `\usepackage{pstool}` to the LaTeX file’s preamble.