EOFError: Compressed file ended before the end-of-stream marker was reached - MNIST data set
This is because for some reason you have an incomplete download for the MNIST dataset. 
You will have to manually delete the downloaded folder which usually resides in ~/.keras/datasets or any path specified by you relative to this path, in your case MNIST_data.
Perform the following steps in the terminal (ctrl + alt + t):

cd ~/.keras/datasets/
rm -rf "dataset name"

You should be good to go!
I am getting the following error when I run mnist = input_data.read_data_sets("MNIST_data", one_hot = True).

EOFError: Compressed file ended before the end-of-stream marker was reached

Even when I extract the file manually and place it in the MNIST_data directory, the program is still trying to download the file instead of using the extracted file. 
When I extract the file using WinZip which is the manual way, WinZip tells me that the file is corrupt. 
How do I solve this problem? 
I can't even load the data set now, I still have to debug the program itself. Please help.
I pip installed Tensorflow and so I don't have a Tensorflow example. So I went to GitHub to get the input_data file and saved it in the same directory as my main.py. The error is just regarding the .gz file. The program could not extract it.

runfile('C:/Users/Nikhil/Desktop/Tensor Flow/tensf.py', wdir='C:/Users/Nikhil/Desktop/Tensor Flow')
  Reloaded modules: input_data
  Extracting MNIST_data/train-images-idx3-ubyte.gz
  C:\Users\Nikhil\Anaconda3\lib\gzip.py:274: VisibleDeprecationWarning: converting an array with ndim > 0 to an index will result in an error in the future
    return self._buffer.read(size)
  Traceback (most recent call last):
File "", line 1, in 
      runfile('C:/Users/Nikhil/Desktop/Tensor Flow/tensf.py', wdir='C:/Users/Nikhil/Desktop/Tensor Flow')
File "C:\Users\Nikhil\Anaconda3\lib\site-packages\spyder\utils\site\sitecustomize.py", line 866, in runfile
      execfile(filename, namespace)
File "C:\Users\Nikhil\Anaconda3\lib\site-packages\spyder\utils\site\sitecustomize.py", line 102, in execfile
      exec(compile(f.read(), filename, 'exec'), namespace)
File "C:/Users/Nikhil/Desktop/Tensor Flow/tensf.py", line 26, in 
      mnist = input_data.read_data_sets("MNIST_data/", one_hot = True)
File "C:\Users\Nikhil\Desktop\Tensor Flow\input_data.py", line 181, in read_data_sets
      train_images = extract_images(local_file)
File "C:\Users\Nikhil\Desktop\Tensor Flow\input_data.py", line 60, in extract_images
      buf = bytestream.read(rows * cols * num_images)
File "C:\Users\Nikhil\Anaconda3\lib\gzip.py", line 274, in read
      return self._buffer.read(size)
File "C:\Users\Nikhil\Anaconda3\lib_compression.py", line 68, in readinto
      data = self.read(len(byte_view))
File "C:\Users\Nikhil\Anaconda3\lib\gzip.py", line 480, in read
      raise EOFError("Compressed file ended before the "
EOFError: Compressed file ended before the end-of-stream marker was reached