Most compilers will automatically define:
__SSE__
__SSE2__
__SSE3__
__AVX__
__AVX2__
etc, according to whatever command line switches you are passing. You can easily check this with gcc (or gcc-compatible compilers such as clang), like this:
$ gcc -msse3 -dM -E - < /dev/null | egrep "SSE|AVX" | sort
#define __SSE__ 1
#define __SSE2__ 1
#define __SSE2_MATH__ 1
#define __SSE3__ 1
#define __SSE_MATH__ 1
or:
$ gcc -mavx2 -dM -E - < /dev/null | egrep "SSE|AVX" | sort
#define __AVX__ 1
#define __AVX2__ 1
#define __SSE__ 1
#define __SSE2__ 1
#define __SSE2_MATH__ 1
#define __SSE3__ 1
#define __SSE4_1