I had exactly the same problem. I use PyCharm with Anaconda3 and Python 3.7, and I installed other packages on / through PyCharms just fine (such as numpy, scipy and others). But although scikit-learn (which contains sklearn, which was initially confusing) seems to be fully installed on my system, including "import sklearn" working outside of PyCharm, I could not get import sklearn to work successfully inside PyCharm.
I finally got a python expert friend who helped me. He checked that everything was installed correctly on my system, and that PyCharm was somehow messed up.
We finally determined that there was no scikit-learn (sklearn) in venv (virtual environment), although I correctly imported it into the project interpreter in PyCharms.
Decision. Uninstall and recreate the VENV by checking the Inherit Global Site Packages box.
See here: https://www.jetbrains.com/help/pycharm/creating-virtual-environment.html to learn how to create a new virtual environment and get this setting.
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