It seems that the package is broken on OS X with Julia 1.0+, but it works normally on Linux.
train_x, train_y = MNIST.traindata() # throws an error when trying to download the dataset
Do you want to download the dataset from ["http://yann.lecun.com/exdb/mnist/train-images-idx3-ubyte.gz", "http://yann.lecun.com/exdb/mnist/train-labels-idx1-ubyte.gz", "http://yann.lecun.com/exdb/mnist/t10k-images-idx3-ubyte.gz", "http://yann.lecun.com/exdb/mnist/t10k-labels-idx1-ubyte.gz"] to "/Users/fineday/.julia/datadeps/MNIST"?
[y/n]
y
ERROR: UndefVarError: GET not defined
Stacktrace:
[1] (::getfield(Base, Symbol("##683#685")))(::Task) at ./asyncmap.jl:178
[2] foreach(::getfield(Base, Symbol("##683#685")), ::Array{Any,1}) at ./abstractarray.jl:1835
[3] maptwice(::Function, ::Channel{Any}, ::Array{Any,1}, ::Array{String,1}) at ./asyncmap.jl:178
[4] wrap_n_exec_twice at ./asyncmap.jl:154 [inlined]
[5] #async_usemap#668(::Int64, ::Nothing, ::Function, ::getfield(DataDeps, Symbol("##14#15")){typeof(DataDeps.fetch_http),String}, ::Array{String,1}) at ./asyncmap.jl:103
[6] #async_usemap at ./none:0 [inlined]
[7] #asyncmap#667 at ./asyncmap.jl:81 [inlined]
[8] asyncmap at ./asyncmap.jl:81 [inlined]
[9] run_fetch at /Users/fineday/.julia/packages/DataDeps/CDQwy/src/resolution_automatic.jl:104 [inlined]
[10] #download#13(::Array{String,1}, ::Nothing, ::Bool, ::Function, ::DataDeps.DataDep{String,Array{String,1},typeof(DataDeps.fetch_http),typeof(identity)}, ::String) at /Users/fineday/.julia/packages/DataDeps/CDQwy/src/resolution_automatic.jl:78
[11] download at /Users/fineday/.julia/packages/DataDeps/CDQwy/src/resolution_automatic.jl:70 [inlined]
[12] handle_missing at /Users/fineday/.julia/packages/DataDeps/CDQwy/src/resolution_automatic.jl:10 [inlined]
[13] _resolve(::DataDeps.DataDep{String,Array{String,1},typeof(DataDeps.fetch_http),typeof(identity)}, ::String) at /Users/fineday/.julia/packages/DataDeps/CDQwy/src/resolution.jl:83
[14] resolve(::DataDeps.DataDep{String,Array{String,1},typeof(DataDeps.fetch_http),typeof(identity)}, ::String, ::String) at /Users/fineday/.julia/packages/DataDeps/CDQwy/src/resolution.jl:29
[15] resolve(::String, ::String, ::String) at /Users/fineday/.julia/packages/DataDeps/CDQwy/src/resolution.jl:54
[16] resolve at /Users/fineday/.julia/packages/DataDeps/CDQwy/src/resolution.jl:73 [inlined]
[17] #2 at /Users/fineday/.julia/packages/MLDatasets/yNB45/src/download.jl:17 [inlined]
[18] withenv(::getfield(MLDatasets, Symbol("##2#3")){String,Nothing}, ::Pair{String,String}) at ./env.jl:148
[19] with_accept at /Users/fineday/.julia/packages/MLDatasets/yNB45/src/download.jl:10 [inlined]
[20] #datadir#1 at /Users/fineday/.julia/packages/MLDatasets/yNB45/src/download.jl:14 [inlined]
[21] datadir at /Users/fineday/.julia/packages/MLDatasets/yNB45/src/download.jl:14 [inlined]
[22] #datafile#4(::Bool, ::Base.Iterators.Pairs{Union{},Union{},Tuple{},NamedTuple{(),Tuple{}}}, ::Function, ::String, ::String, ::Nothing) at /Users/fineday/.julia/packages/MLDatasets/yNB45/src/download.jl:32
[23] datafile at /Users/fineday/.julia/packages/MLDatasets/yNB45/src/download.jl:32 [inlined]
[24] #traintensor#2 at /Users/fineday/.julia/packages/MLDatasets/yNB45/src/MNIST/interface.jl:54 [inlined]
[25] #traintensor at ./none:0 [inlined]
[26] #traindata#10 at /Users/fineday/.julia/packages/MLDatasets/yNB45/src/MNIST/interface.jl:231 [inlined]
[27] #traindata at ./none:0 [inlined]
[28] #traindata#11 at /Users/fineday/.julia/packages/MLDatasets/yNB45/src/MNIST/interface.jl:235 [inlined]
[29] traindata() at /Users/fineday/.julia/packages/MLDatasets/yNB45/src/MNIST/interface.jl:235
[30] top-level scope at none:0