Equivalent of Python's 'with' in Julia?

Use a do block. Docs on do blocks are here.

And here is an example of how to do the usual with open(filename) as my_file of Python in Julia:

open("sherlock-holmes.txt") do filehandle
  for line in eachline(filehandle)
      println(line)
  end
end

The above example is from the Julia wikibooks too.