Threads.@threads is still consider a bit experimental and there are a few performance pitfalls that one can stumble into. I talked about this for a bit in http://slides.com/valentinchuravy/julia-parallelism, but if you still have issues after reading that feel free to reach out on https://discourse.julialang.org and we will figure out what is going on.

The problem isn't overhead but that there's a performance bug that one can easily hit with multithreading right now, which is why it's labelled experimental. When that's fixed hopefully you'll be happy :). A function barrier fixes it, but it's a little nasty. This is probably the bug I want fixed most, but since it's not syntax breaking it's a slated for v1.x and not v1.0.