I am getting very minimal mse values and not sure if it is correct?
So first thing first, accuracy is a classification concept. You can't say you have 99% accuracy for a regression problem.

Your code seems ok. Cross validation is not necessary here since you are not doing any hyper-parameter tuning or model selection. The mse error is indeed low, so I would suggest you go back to normalize your data, since if your target $y$ has a very small span, i.e. low $\sigma$ in Gaussian case, you will get a meaningless low mse guaranteed.