I guess you have the wrong version of scikit-learn, a similar situation was described here on GitHub. Previously (before v0.18), train_test_split was located in the cross_validation module:
from sklearn.cross_validation import train_test_split
However, now it’s in the model_selection module:
from sklearn.model_selection import train_test_split
so you’ll need the newest version.
To upgrade to at least version 0.18, do:
pip install -U scikit-learn
(Or pip3, depending on your version of Python). If you’ve installed it in a different way, make sure you use another method to update, for example when using Anaconda.
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