Official Guide
>>> import numpy as np
>>> from sklearn.model_selection import StratifiedKFold
>>> X = np.array([[1, 2], [3, 4], [1, 2], [3, 4]])
>>> y = np.array([0, 0, 1, 1])
>>> skf = StratifiedKFold(n_splits=2)
>>> skf.get_n_splits(X, y)
2
>>> print(skf)
StratifiedKFold(n_splits=2, random_state=None, shuffle=False)
>>> for train_index, test_index in skf.split(X, y):
...     print("TRAIN:", train_index, "TEST:", test_index)
...     X_train, X_test = X[train_index], X[test_index]
...     y_train, y_test = y[train_index], y[test_index]
TRAIN: [1 3] TEST: [0 2]
TRAIN: [0 2] TEST: [1 3]
MY CODE
skf = StratifiedKFold(n_splits=4) # shuffle=True, random_state=1
for train_index, test_index in skf.split(X, y):
    X_train = X[train_index]
    X_test = X[test_index]
    y_train = y[train_index]
    y_test = y[test_index]
    print("TRAIN:", train_index, "TEST:", test_index)
ERROR
---------------------------------------------------------------------------
KeyError                                  Traceback (most recent call last)
<ipython-input-12-2776afce57e9> in <module>
      2 
      3 for train_index, test_index in skf.split(X, y):
----> 4     X_train = X[train_index]
      5     X_test = X[test_index]
      6     y_train = y[train_index]
~/anaconda3/lib/python3.8/site-packages/pandas/core/frame.py in __getitem__(self, key)
   2906             if is_iterator(key):
   2907                 key = list(key)
-> 2908             indexer = self.loc._get_listlike_indexer(key, axis=1, raise_missing=True)[1]
   2909 
   2910         # take() does not accept boolean indexers
~/anaconda3/lib/python3.8/site-packages/pandas/core/indexing.py in _get_listlike_indexer(self, key, axis, raise_missing)
   1252             keyarr, indexer, new_indexer = ax._reindex_non_unique(keyarr)
   1253 
-> 1254         self._validate_read_indexer(keyarr, indexer, axis, raise_missing=raise_missing)
   1255         return keyarr, indexer
   1256 
~/anaconda3/lib/python3.8/site-packages/pandas/core/indexing.py in _validate_read_indexer(self, key, indexer, axis, raise_missing)
   1296             if missing == len(indexer):
   1297                 axis_name = self.obj._get_axis_name(axis)
-> 1298                 raise KeyError(f"None of [{key}] are in the [{axis_name}]")
   1299 
   1300             # We (temporarily) allow for some missing keys with .loc, except in
KeyError: "None of [Int64Index([ 785015,  785016,  785017,  785018,  785019,  785020,  785021,\n             785022,  785023,  785024,\n            ...\n            3140252, 3140253, 3140254, 3140255, 3140256, 3140257, 3140258,\n            3140259, 3140260, 3140261],\n           dtype='int64', length=2355196)] are in the [columns]"
Solutions that I have tried
You have to call iloc function of the pandas dataframe to access the values by their index:
    X_train = X.iloc[train_index]
    X_test = X.iloc[test_index]
    y_train = y.iloc[train_index]
    y_test = y.iloc[test_index]
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