@gohan, Thank you! I got it to work. First I tried with the development branch and it didn't work either, then I used the following instructions https://forum.mysensors.org/topic/1151/tutorial-raspberry-pi-nrf24l01-direct-connection
And when that didn't work either I rechecked the wiring which ended up being the reason for it to fail previously, "faulty wires".
I got it to work with the master branch.

pi@raspberrypi:~/MySensors $ sudo ./bin/mysgw -d
mysgw: Starting gateway...
mysgw: Protocol version - 2.1.1
mysgw: MCO:BGN:INIT GW,CP=RNNG---,VER=2.1.1
mysgw: TSF:LRT:OK
mysgw: TSM:INIT
mysgw: TSF:WUR:MS=0
mysgw: TSM:INIT:TSP OK
mysgw: TSM:INIT:GW MODE
mysgw: TSM:READY:ID=0,PAR=0,DIS=0
mysgw: MCO:REG:NOT NEEDED