@crcrpar indeed, it seems to be fixed by another alternative download location in the nigthly version, thanks a lot for the hint!
Downloading http://yann.lecun.com/exdb/mnist/train-images-idx3-ubyte.gz
Failed to download (trying next):
HTTP Error 503: Service Unavailable

Downloading https://ossci-datasets.s3.amazonaws.com/mnist/train-images-idx3-ubyte.gz
Downloading https://ossci-datasets.s3.amazonaws.com/mnist/train-images-idx3-ubyte.gz to ./MNIST/raw/train-images-idx3-ubyte.gz
9913344it [00:01, 5985275.67it/s]                                                                                                                                                                           
Extracting ./MNIST/raw/train-images-idx3-ubyte.gz to ./MNIST/raw

Downloading http://yann.lecun.com/exdb/mnist/train-labels-idx1-ubyte.gz
Failed to download (trying next):
HTTP Error 503: Service Unavailable

Downloading https://ossci-datasets.s3.amazonaws.com/mnist/train-labels-idx1-ubyte.gz
Downloading https://ossci-datasets.s3.amazonaws.com/mnist/train-labels-idx1-ubyte.gz to ./MNIST/raw/train-labels-idx1-ubyte.gz
29696it [00:00, 182824.66it/s]                                                                                                                                                                              
Extracting ./MNIST/raw/train-labels-idx1-ubyte.gz to ./MNIST/raw

Downloading http://yann.lecun.com/exdb/mnist/t10k-images-idx3-ubyte.gz
Failed to download (trying next):
HTTP Error 503: Service Unavailable

Downloading https://ossci-datasets.s3.amazonaws.com/mnist/t10k-images-idx3-ubyte.gz
Downloading https://ossci-datasets.s3.amazonaws.com/mnist/t10k-images-idx3-ubyte.gz to ./MNIST/raw/t10k-images-idx3-ubyte.gz
1649664it [00:01, 1648913.12it/s]                                                                                                                                                                           
Extracting ./MNIST/raw/t10k-images-idx3-ubyte.gz to ./MNIST/raw

Downloading http://yann.lecun.com/exdb/mnist/t10k-labels-idx1-ubyte.gz
Failed to download (trying next):
HTTP Error 503: Service Unavailable

Downloading https://ossci-datasets.s3.amazonaws.com/mnist/t10k-labels-idx1-ubyte.gz
Downloading https://ossci-datasets.s3.amazonaws.com/mnist/t10k-labels-idx1-ubyte.gz to ./MNIST/raw/t10k-labels-idx1-ubyte.gz
5120it [00:00, 2691419.54it/s]                                                                                                                                                                              
Extracting ./MNIST/raw/t10k-labels-idx1-ubyte.gz to ./MNIST/raw

Processing...
/home/klos/anaconda3/lib/python3.7/site-packages/torchvision/datasets/mnist.py:502: UserWarning: The given NumPy array is not writeable, and PyTorch does not support non-writeable tensors. This means you can write to the underlying (supposedly non-writeable) NumPy array using the tensor. You may want to copy the array to protect its data or make it writeable before converting it to a tensor. This type of warning will be suppressed for the rest of this program. (Triggered internally at  /pytorch/torch/csrc/utils/tensor_numpy.cpp:179.)
  return torch.from_numpy(parsed.astype(m[2], copy=False)).view(*s)
Done!
Dataset MNIST
    Number of datapoints: 60000
    Root location: .
    Split: Train