mnist = fetch_mldata('MNIST original')

[dbl001]

URLError: <urlopen error [Errno 110] Connection timed out>

mldata.org appears to be down.

Please see:
scikit-learn/scikit-learn#8588

[AasthaVarma]

fetch_mldata() was used to download MNIST dataset from mldata.org which was pretty unstable so was shutdown eventually.
Scikit-Learn 0.20 uses fetch_openml() instead. You can just do this -

import sklearn
print(sklearn.__version__)

try:
    from sklearn.datasets import fetch_openml
    mnist = fetch_openml('mnist_784', version=1, cache=True)
except ImportError:
    from sklearn.datasets import fetch_mldata
    mnist = fetch_mldata('MNIST original')

Hope this helps😃