If you worry about losing data, you can recover data from the WD hard drive with iBoysoft Data Recovery for Mac at first. Summary: This article analyzes why the WD My Passport for Mac drive is not mounting/working on Mac and how to fix this issue.
Backing up Windows or Mac to WD Network Attached Storage (NAS) This article explains how to perform a backup to a My Cloud, WD Sentinel or My Book. This answer explains how to install a My Cloud device on Windows or Mac OSX.
From plugging in to running, this video will show.
Product Marketing Manager, takes you through setting up your My Cloud on a Mac computer.