(see bottom for OS X 10.8 Mountain Lion info)
Whatever the issue is, it's not a Yosemite compatibility issue. I'm using EOS Utility with my 5D III and just tested a tethered capture - it all works fine. I'm using EOS Utility 3.0.1 (although the latest is 3.1.0b - I haven't downloaded that update yet.) Make sure your software isn't out of date. Download Canon Eos Utility Mac Os X - real advice. EOS Viewer Utility and 2 more programs.
If you’ve had any trouble running Canon EOS Utility on Mac OS X 10.7 Lion, you’ll be happy to know that a new version of EOS Utility was just released, and it’s listed as supporting Mac OS X 10.6.8 and 10.7. To download it, go to the Canon USA Digital SLR Cameras web page, click the picture of your camera, and then click Drivers and Downloads. (Update: Canon changed the page and link, so I updated the link and the Canon page now looks different than the screen shot below.)
Although it isn’t necessary to install the Canon software if you use software such as Lightroom, Aperture, or Camera Raw to import and process your Canon DSLR images, you may find Canon EOS Utility easier for a few things such as tethered shooting and camera configuration.
(via robgalbraith.com)
[Update on October 4, 2012: Changes to USB device handling in OS X 10.7.5 may have broken Canon tethering, according to this blog post: OS X 10.7.5 breaks Canon tethering]
Update Canon Eos Utility
OS X 10.8 Mountain Lion update
Eos Utility 3 For Mac
Canon now provides a Mac OS X 10.8 choice in their Choose Operating System menu. As I write this update (September 2012), the only downloadable item listed is the latest firmware update. Other categories say new software will be available in October 2012, so you should check it again.
Download Eos Utility Mac
[Update on October 2, 2012: Canon EOS Utility version 2.11.4 may crash on Mountain Lion when tethering a Canon 5D MKIII. For details, see this post on another blog: Canon software crashing on OS X 10.8]