I use this code to test KFold and StratifiedKFold. import numpy as np from sklearn.model_selection import KFold,StratifiedKFold X = np.array([ [1,2,3,4], [11,12,13,14], [21,22,23,24], [31,32,33,34], [41,42,43,44], [51,52,53,54], [61,62,63,64], [71,72,73,74] ]) y = np.array([0,0,0,0,1,1,1,1]) sfolder = StratifiedKFold(n_splits=4,random_state=0,shuffle=False) floder = KFold(n_splits=4,random_state=0,shuffle=False) for train, test in sfolder.split(X,y): print('Train: %s | test: %s' % (train, test)) print("StratifiedKFold done") for train, test in floder.split(X,y): print('Train: %s | test: %s' % (train, test)) print("KFold done") I found that StratifiedKFold can keep the proportion of labels, but KFold can't. Train: [1 2 3 5 6 7] | test: [0 4] Train: [0 2 3 4 6 7] | test: [1 5] Train: [0 1 3 4 5 7] | test: [2 6] Train: [0 1 2 4 5 6] | test: [3 7] StratifiedKFold done Train: [2 3 4 5 6 7] | test: [0 1] Train: [0 1 4 5 6 7] | test: [2 3] Train: [0 1 2 3 6 7] | test: [4 5] Train: [0 1 2 3 4 5] | test: [6 7] KFold done It seems that StratifiedKFold is better, so should KFold not be used? When to use KFold instead of StratifiedKFold? Continue reading...