Alter validation when using inline entity form
At last I got it to work. Here is the final code where the error was that I did not fully understand how to use form_set_error to point at the field I wanted to validate.

function mymodule_inline_entity_form_entity_form_alter(&amp;$entity_form, &amp;$form_state)
{
  $entity_form['#element_validate'] = array('mymodule_inline_entity_form_entity_form_validate');
}


function mymodule_inline_entity_form_entity_form_validate(&amp;$entity_form, &amp;$form_state)
{
  form_set_error('field_bucket_list][und][form][field_price', '!Validate');
  inline_entity_form_entity_form_validate($entity_form, $form_state);
}


The field I wanted to validate is field_price and is located as values->field_bucket_list->und->form->field_price in $form_state, which I got from using Devel.