I had a problem with my WD My Passport Ultra 1TB. I can use it on any Windows system but I can’t use it on my Mac, even I using boot camp with Windows 10. I tried to format to both exFAT and NTFS. I also tried to use another cable (from Samsung Galaxy S5). Also, I tried to use Disk Utility but it can’t recognise.
Using a Windows system (not BootCamp) try to format the WD with FAT32 and see if its recognised under Mac and BootCamp Windows. Another hack: Partition your hard drive into a NTFS and FAT or EXFAT using a Windows PC. See if it works now.