Standard jungle items, if a invade happens or you get harassed in a level 1 skirmish or you take damage during a gank, it's always good to have health potions top your HP off regardless of what champion you have. Machete builds into what we want (spirit stone or razor but in our case spirit stone).
Standard start as we need regen for mana/hp since sejuani loses both fairly quickly and boots to roam around the map faster.
Spirit of the ancient golem is a very strong jungle item as it gives tenacity, cooldown reduction and HP for a nice price. The most important part in addition to the nice deal on stats is the tenacity which means we're allowed to go different boots (instead of merc treads all day every day). Ninja Tabi tends to be the safest as it scales all game and makes Sejuani very durable. Mobility is a slightly riskier solo queue style boots as it's useless late game but very strong at roaming and doing ganks early as it'll make Sejuani run extremely fast. If you can't get mobility early, I tend to skip it for Tabis or to get Tabis way later as you may also want to get another completed item before finishing the boots if you have a huge stash of gold on one of your buy back.
If the enemy has a fair number of slows, consider investing in boots of swiftness to further reduce it (when combined with masteries/passive, it can greatly reduce slows on Sejuani) as it can either save your life or make a gank easier because you'll be able to escape with higher movespeed due to the slow being weaker.
Next (get both unless support getting aegis, order is your choice):
You can pick which one to go for first but if teamfights are breaking out or if the enemy team has a heavy amount of Magic damage then I'd rush Aegis/Bulwark. This doesn't mean Locket is a bad item in those scenarios but Aegis does gives huge stats and is always active and it's stats don't level up as your champion levels like Locket does.
We love CDR and unless the enemy is full magic damage or something strange (in that case go Spirit Visage I guess), this is a very strong item against physical damage dealers and will greatly hurt their attack speed.
This is just a final item in case you have massive amounts of gold as it'll do a decent chunk of damage on targets such as tanks, so you will likely do more to them as you'll have the burn damage from this constantly on them. Usually at this point you'll be dying at the same speed regardless of your 6th item as if they can get by the golem/locket/bulwark/tabi/FH combo then the last item won't really slow them down from killing you.