title: mnist_784 download fails with CERTIFICATE_VERIFY_FAILED (Even after installing certifi)
body: <p>I am trying to run the following command:</p>
  <pre><code>fetch_openml('mnist_784')
  </code></pre>
  <p>from the <code>sklearn</code> library.
  I keep getting the following error message:
  <code>urllib.error.URLError: &lt;urlopen error [SSL: CERTIFICATE_VERIFY_FAILED] certificate verify failed (_ssl.c:852)&gt;</code></p>
  <p>I searched online and tried running <code>pip install certifi</code> and running <code>open /Applications/Python\ 3.6/Install\ Certificates.command</code> from the terminal.
  Both actions completed successfully yet I still receive the same error.
  I am using Python 3.6.8 an MacOs 10.15.7</p>
  <p>Output from <code>pip install certifi</code>:</p>
  <pre><code>Requirement already up-to-date: certifi in /Library/Frameworks/Python.framework/Versions/3.6/lib/python3.6/site-packages (2020.11.8)
  -- removing any existing file or link
  -- creating symlink to certifi certificate bundle
  -- setting permissions
  -- update complete
  
  </code></pre>
  <p>Thanks in advance</p>