diff --git a/python/orca/dev/example/run-example-test-ray.sh b/python/orca/dev/example/run-example-test-ray.sh
index 1f46bec1c55..72fe065e632 100644
--- a/python/orca/dev/example/run-example-test-ray.sh
+++ b/python/orca/dev/example/run-example-test-ray.sh
@@ -41,6 +41,17 @@ time4=$((now-start))
 
 echo "#5 Start mxnet lenet example"
 start=$(date "+%s")
+
+# get_mnist_iterator in MXNet requires the data to be placed in the `data` folder of the running directory.
+# The running directory of integration test is ${ANALYTICS_ZOO_ROOT}.
+if [ -f ${ANALYTICS_ZOO_ROOT}/data/mnist.zip ]
+then
+    echo "mnist.zip already exists"
+else
+    wget -nv $FTP_URI/analytics-zoo-data/mnist.zip -P ${ANALYTICS_ZOO_ROOT}/data
+fi
+unzip -q ${ANALYTICS_ZOO_ROOT}/data/mnist.zip -d ${ANALYTICS_ZOO_ROOT}/data
+
 python ${ANALYTICS_ZOO_ROOT}/pyzoo/zoo/examples/orca/learn/mxnet/lenet_mnist.py -e 1 -b 256
 now=$(date "+%s")
 time5=$((now-start))