yes, pycall should work. or you can copy some modules in some ML implementation in julia that loads MNIST such as in Knet: https://github.com/denizyuret/Knet.jl/blob/master/data/mnist.jl or examples: Knet.jl/examples/mnist-mlp at master · denizyuret/Knet.jl · GitHub or https://github.com/JuliaML/MLDatasets.jl