Okay this is my build for Sejuani as you can see by the title. This is my first build so sorry if I ramble a bit hope you like it.

Build Spirit of the Ancient Golem for your first item Then you can go and build the Aegis of the Legion or Iceborn Gauntlet depends on if you want more damage right away or you want to be more tanky. After you finish both of the items build Boots of Swiftness. The reason I feel you should build boots of swiftness is because sejuani on her own is not a very fast champion at all. So with these boots you can get to jungle camps faster and when you need to get to a lane to gank you can get there faster. Once you buy Locket of the Iron Solari sell Spirit of the Ancient Golem and buy start working on building either Randuin's Omen or Frozen Heart. For the optional items Thornmail, Spirit Visage, and Banshee's Veil
I'd recommend building Thornmail if a very heavy ad top laner or the adc gets fed.
I'd recommend Spirit Visage if you need another tanky item it also gets you a good amount of MR.
I'd recommend Banshee's Veil If they have a heavy ap champ that can bring you to half health with one ability. The passive on Banshee's Veil helps counter that.

The reasoning behind me having Smite as one of my summoner spells is kind of obvious because I'm a jungle, But the reasoning behind me taking Ignite over Flash is a simple reason but I thought I should explain it. Sejuani already has a great escape, which is her Q. She can jump over walls with her q she also has her E which is if you damage an enemy at all it applies a frost to the enemies allowing you to activate your E which slow them a great deal and also deals about 100 damage. I also chose Ignite over Flash because it helps secure kills early on.