ImportError: cannot import name 'cross_validate'

from sklearn.model_selection import cross_validate

On the latest stable version, 0.20.0, it is located underneath model_selection.

from sklearn.model_selection import train_test_split

Refer Documentation

cross-validate is new in version 0.19.0 (change log):

Cross validation is now able to return the results from multiple metric evaluations. The new model_selection.cross_validate can return many scores on the test data as well as training set performance and timings, and we have extended the scoring and refit parameters for grid/randomized search to handle multiple metrics.

In order to use it update your scikit-learn installation with either conda upgrade scikit-learn if you are using conda, or pip install --upgrade scikit-learn. If updating is not possible, you can still use cross_val_score instead.