What error messages do you get?
I just tried download mnist on my environment, and it works with NNC v3.1.0.
(You can skip this if you don't use proxy)
If you cannot connect servers, you may need to set the proxy information by HTTP_PROXY and HTTPS_PROXY environment variables to connect Internet.
You can set these information at the Engine tab in Setup menu at the top right corner.
The download scripts are available here:
{install_path}/neural_network_console/libs/plugins/_Pre_Process/_Download_or_Generate_Dataset/
create_mnist_csv.py will download mnist sample dataset.
Please try using your browser to see if you can download from these URLs in this script.