SignalR currently doesn't try to establish cross-domain SSE connections by default.
This decision was made before browsers had CORS compatible EventSource implementations, so it was seen as wasteful to even attempt establishing cross-domain SSE connections.
Starting with SignalR 2.0.3, cross-domain SSE connections will be attempted by default.
In the meantime you can manually specify which transports to try and what order to try them in:
$.connection.hub.start({transport: ["webSockets", "serverSentEvents", "foreverFrame", "longPolling"]});
http://www.asp.net/signalr/overview/signalr-20/hubs-api/hubs-api-guide-javascript-client#transport