Python 3.5 - ssl.SSLEOFError: EOF occurred in viol

Question

I am using Keras and trying to load mnist dataset.

Link to the website is: https://s3.amazonaws.com/img-datasets/mnist.pkl.gz

It works in a browser. But when I call 'mnist.load_data()', I get the exception:

ssl.SSLEOFError: EOF occurred in violation of protocol (_ssl.c:645)

There are many solutions already provided, I tried almost all of them.

Below is the stacktrace:

Downloading data from https://s3.amazonaws.com/img-datasets/mnist.pkl.gz
Traceback (most recent call last):
  File "/home/user/anaconda3/lib/python3.5/urllib/request.py", line 1684, in open
    return getattr(self, name)(url)
  File "/home/user/anaconda3/lib/python3.5/urllib/request.py", line 1894, in open_https
    return self._open_generic_http(self._https_connection, url, data)
  File "/home/user/anaconda3/lib/python3.5/urllib/request.py", line 1843, in _open_generic_http
    http_conn.request("GET", selector, headers=headers)
  File "/home/user/anaconda3/lib/python3.5/http/client.py", line 1083, in request
    self._send_request(method, url, body, headers)
  File "/home/user/anaconda3/lib/python3.5/http/client.py", line 1128, in _send_request
    self.endheaders(body)
  File "/home/user/anaconda3/lib/python3.5/http/client.py", line 1079, in endheaders
    self._send_output(message_body)
  File "/home/user/anaconda3/lib/python3.5/http/client.py", line 911, in _send_output
    self.send(msg)
  File "/home/user/anaconda3/lib/python3.5/http/client.py", line 854, in send
    self.connect()
  File "/home/user/anaconda3/lib/python3.5/http/client.py", line 1237, in connect
    server_hostname=server_hostname)
  File "/home/user/anaconda3/lib/python3.5/ssl.py", line 376, in wrap_socket
    _context=self)
  File "/home/user/anaconda3/lib/python3.5/ssl.py", line 747, in __init__
    self.do_handshake()
  File "/home/user/anaconda3/lib/python3.5/ssl.py", line 983, in do_handshake
    self._sslobj.do_handshake()
  File "/home/user/anaconda3/lib/python3.5/ssl.py", line 628, in do_handshake
    self._sslobj.do_handshake()

My 'openssl version' on console yeilds:

openssl version
OpenSSL 1.0.2e 3 Dec 2015

In python console:

>>> import OpenSSL
>>> OpenSSL.__version__
'0.15.1'
>>> import ssl 
>>> print (ssl.OPENSSL_VERSION)
OpenSSL 1.0.2e 3 Dec 2015

I am using Python 3.5 that came with anaconda

I also upgraded OpenSSL using conda install OpenSSL but the error persists.

I also tried a patch:

import ssl
from functools import wraps
def sslwrap(func):
    @wraps(func)
    def bar(*args, **kw):
        kw['ssl_version'] = ssl.PROTOCOL_TLSv1
        return func(*args, **kw)
    return bar

ssl.wrap_socket = sslwrap(ssl.wrap_socket)

But still no resolution. How can I get rid of this error?