a web search gave me [this](http://data.pymvpa.org/datasets/mnist/) which says that yann lecun and corinna cortes hold the copyright and is made available under [CC BY-SA 3.0](http://creativecommons.org/licenses/by-sa/3.0/)

I actually loaded the MNIST dataset using [`sklearn.datasets.fetch_mldata('MNIST Original')`](http://scikit-learn.org/stable/datasets/#downloading-datasets-from-the-mldata-org-repository) which is  CC0 as can be verified  at http://mldata.org/repository/data/viewslug/mnist-original/