Cannot get MNIST database through Anaconda/jupyter

I also had the same error and had to turn off the firewall. On the Macbook, go System Preferences > Security & Privacy > Firewall > Turn Off Firewall.

from sklearn.datasets import fetch_mldata
try:
    mnist = fetch_mldata('MNIST original')
except Exception as ex:        
    from six.moves import urllib
    from scipy.io import loadmat
    import os

    mnist_path = os.path.join(".", "datasets", "mnist-original.mat")

    # download dataset from github.
    mnist_alternative_url = "https://github.com/amplab/datascience-sp14/raw/master/lab7/mldata/mnist-original.mat"
    response = urllib.request.urlopen(mnist_alternative_url)
    with open(mnist_path, "wb") as f:
        content = response.read()
        f.write(content)

    mnist_raw = loadmat(mnist_path)
    mnist = {
        "data": mnist_raw["data"].T,
        "target": mnist_raw["label"][0],
        "COL_NAMES": ["label", "data"],
        "DESCR": "mldata.org dataset: mnist-original",
    }
    print("Done!")