I think the information you're looking for is in design_info.column_names
:
>>> dm = dmatrix("carbs + score", dta)
>>> dm.design_info
DesignInfo(['Intercept', 'carbs[T.lo]', 'carbs[T.very_high]', 'score'],
term_slices=OrderedDict([(Term([]), slice(0, 1, None)), (Term([EvalFactor('carbs')]), slice(1, 3, None)), (Term([EvalFactor('score')]), slice(3, 4, None))]),
builder=<patsy.build.DesignMatrixBuilder at 0xb03f8cc>)
>>> dm.design_info.column_names
['Intercept', 'carbs[T.lo]', 'carbs[T.very_high]', 'score']
and so
>>> DataFrame(dm, columns=dm.design_info.column_names)
Intercept carbs[T.lo] carbs[T.very_high] score
0 1 1 0 1.0
1 1 0 0 2.4
2 1 1 0 1.2
3 1 1 0 1.4
4 1 0 1 1.8
[5 rows x 4 columns]