documentclass[tikz,border=7pt]{standalone}
use tikz library{matrix, arrows.meta} % added arrows.meta
begin{document}
  begin{tikzpicture}
    matrix (M) [
        matrix of nodes,
        nodes={
           minimum height = 7mm,
           minimum width = 2cm,
           outer sep=0,
           anchor=center,
           draw,fill=blue!20 % <-added
        },
        column 1/.style={
            nodes={draw=none,fill=none}, % <-- added fill=none
            minimum width = 4cm
        },
        row sep=5mm, column sep=-pgflinewidth,
        nodes in empty cells,
        e/.style={fill=black!50}
      ]
      {
        1st Iter & |[e]| & & & & & \
        2nd Iter & & |[e]| & & & & \
        3rd Iter & & & |[e]| & & & \
        kth Iter & & & & & & |[e]| \
      };
      draw (M-1-3.north west) ++(0,2mm) coordinate (LT) edge[|<->|, >= latex] node[above]{Train} (LT-|M-1-7.north east); % changed 5 to 7
       draw (M-1-2.north west) ++(0,2mm) coordinate (LT) edge[|<->|, >= latex] node[above]{Test} (LT-|M-1-2.north east);

      % dots
      node [below=3pt] at (M-3-5.south east) {$cdots$};

      % fold labels and arrows
       foreach [
             count=row,
             evaluate={col=ifthenelse(row==4, % if fourth row
                                       int(row+3), % use seventh column
                                       int(row+1)) % else use column row+1
                       }
                ] txt in {1,2,3,k}
         {
            node [below] at (M-row-col.south) {Fold-txt};
            draw [black!30,line width=1mm,-Triangle] (M-row-7.east) ++(2mm,0) -- ++(7mm,0) node[black, right] {$E_{txt}$};
          }
  end{tikzpicture}
end{document}