diff --git a/data/get_mnist.sh b/data/get_mnist.sh
--- /dev/null
+++ b/data/get_mnist.sh
@@ -0,0 +1,18 @@
+#!/usr/bin/env sh
+# This scripts downloads the mnist data and unzips it.
+
+echo "Downloading..."
+
+wget -q http://yann.lecun.com/exdb/mnist/train-images-idx3-ubyte.gz
+wget -q http://yann.lecun.com/exdb/mnist/train-labels-idx1-ubyte.gz
+wget -q http://yann.lecun.com/exdb/mnist/t10k-images-idx3-ubyte.gz
+wget -q http://yann.lecun.com/exdb/mnist/t10k-labels-idx1-ubyte.gz
+
+echo "Unzipping..."
+
+gunzip train-images-idx3-ubyte.gz
+gunzip train-labels-idx1-ubyte.gz
+gunzip t10k-images-idx3-ubyte.gz
+gunzip t10k-labels-idx1-ubyte.gz
+
+echo "Done."