iPhoto on Mac doesn't download the full iCloud photo library
iCloud Photo Library needs to be enabled in Settings (on iOS or OS X) devices and then the photos will sync. Also make sure the devices are up to date.

I have just been through the process on a replacement iPhone (iOS 8.3). I setup the device on Friday (12 June 2015) and only today (18 June 2015) did my Photo's application show the correct count of photos (approx 25000). The most recent ones have thumbnails already and the older ones are still getting them. I did not realize when I setup the device that it was still on iOS 8.0 (Photo Library was marked as Beta) so that could have contributed to the delayed sync.

This device has been on wifi networks (work / home) for the majority of the time since configuration. Please note that this post is from South Africa where both of these connections top out at 10 mbps on a good day.