If you face “The ‘My Data’ Lightning App was not found”, do the following.

1. Register in My Domain.

2. Install the Package only after successful domain registration. You will receive an email from Salesforce.

3. Create a new App Builder with “My Data”. If you have the old one, kindly delete it.

Try the below, only if the issue still persists

1. Go to Setup –> Build  –> Develop –> Lightning Components.

2. Check the Enable Lightning Components in Salesforce1 (BETA) checkbox.

3. Save it.