Following steps worked for me when I tried to install selinux on my ubuntu-14.4 version
If you are not using the standard linux kernel provided by debian with an ext2/3/4, you have to make sure that you are using a SELinux capable kernel and filesystem (see the prerequisites section below).
Get the default policy and the basic set of SELinux utilities by running apt-get install selinux-basics selinux-policy-default auditd.
Note: Before jessie, if you have enabled installation of recommends (default), this might pull in quite some dependencies like an xserver and dbus. If you don't want them, do not install setools, which is recommended by auditd and selinux-basics.
If using Ubuntu, download this _load_selinux_policy script (this is a slightly modified version of the script included in the Ubuntu 'selinux' package), place it in /usr/share/initramfs-tools/scripts/init-bottom/then run update-initramfs -u (Upstart in Debian loads the SELinux policy automatically, but Upstart in Ubuntu does not. See https://bugs.launchpad.net/upstart/+bug/595774)
Run selinux-activate to configure GRUB and PAM and to create /.autorelabel
Reboot, it will take a while to label the filesystems on boot and then it will automatically reboot a second time when that is complete.
Run check-selinux-installation to check that everything has been setup correctly and to catch common SELinux problems. (Note: in wheezy the warning about /etc/pam.d/login is a false positive)
https://wiki.debian.org/SELinux/Setup