If you receive the error showing that you cannot Import this module or the module then you are probably using a version of Scikit Learn which is past version 0.20, but you are referencing a guide or tutorial which is before this version was released.
You might be trying to import train_test_split for any number of machine learning algorithms from Scikit Learn.
Instead of something like this:
from sklearn.cross_validation import train_test_split
from sklearn.model_selection import train_test_split
This should allow the same functionality as the previous versions.