ImportError: No module named model_selection

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.

Update sklearn

conda update scikit-learn

I encountered this problem when I import GridSearchCV.

Just changed sklearn.model_selection to sklearn.grid_search.