Can you please provide the link of this MNIST data set so that I can download it and can run the code. There are plenty of data sets with the same name. Kindly send the appropriate link.
MNIST Dataset link
hey @anuragbansals ,
instead of downloading it , you can call from keras.datasets :
from keras.datasets import mnist
(x_train, y_train), (x_test, y_test) = mnist.load_data()
it will automatically download the data and provide with in the way you need to process it further.
I hope this would help you to resolve this doubt.
Thank You and Happy Learning 
.