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I have a matrix X of shape Nx2 and a corresponding set of labels (5 labels for 5 classes, eg., 0,1,2,3,4) in matrix Y of length N. Now I want to plot X using matplotlib scatter plot such that the value in X corresponding to each label in Y comes in a different colour. I'm not sure about the exact parameters of plt.scatter() for this problem.

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You can specify the colors parameter to scatter. If you simply pass the class label array as the color parameter, the colormap will be used to map each label to a corresponding RGB value.

plt.scatter(X[:,0], X[:,1], c=Y)
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