More details about what is included is given in Help and then Dependencies (note sklearn is not listed):
To use sklearn and other data science libraries with the latest version of Spyder 5 you need to create a conda environment. I recommend cloning the base conda environment. To make the environment appropriate for Spyder 5 you need to remove the old spyder-kernels (for Spyder 4) and install the latest ones from conda forge (for Spyder 5).
Open up the Anaconda Powershell Prompt and type in:
conda create --name spyder5env --clone base
conda activate spyder5env
conda remove spyder-kernels
conda install --channel conda-forge spyder-kernels
Install any other packages (avoid pip where possible and instead preferentially install from conda or conda forge).
Type the following into the address bar in Windows Explorer using the Windows 10 Environmental variable:
%UserProfile%\anaconda3\envs\spyder5env
This should take you to the new env folder where you can copy the address:
Launch Spyder 5 and select Tools and Preferences:
Select Python Interpreter to the left hand side and then select Use the following Python interpreter. Paste the copied path:
Add the \ behind the path name and the python.exe should auto-populate:
Apply the changes and close and relaunch Spyder. Notice that it is now using the custom conda environment called spyder5env and as this was made from a clone of the base Anaconda installation it contains all the data science libraries:
Note if you have Spyder4 installed (with Anaconda3) you will need to change the Python interpreter back to the base environment as the newer spyder-kernels are incompatible with the older version of Spyder.
I made a tutorial video doing this: