WARNING: this script is deprecated, please see git-completion.zsh

Might seems silly, but make sure that you source your ~/.zshrc file (create one if it does not exists). On OSX I completely forgot that I had switched to zsh, and got the error you mentioned because I was doing source ~/.bashrc

1. The easiest way to get auto-completion working is to install it through Homebrew (it will work for zsh as well as bash.):

brew install bash-completion

2. Put this into your ~/.zshrc:

# auto-completion
if [ -f /opt/local/etc/profile.d/bash_completion.sh ]; then
  . /opt/local/etc/profile.d/bash_completion.sh
fi

3. Save the file and do a source ~/.zshrc and you will be good