Download all pdf files from a website using Python

Check out the following implementation. I've used requests module instead of urllib to do the download. Moreover, I've used .select() method instead of .find_all() to avoid using re.

import os
import requests
from urllib.parse import urljoin
from bs4 import BeautifulSoup

url = "http://www.gatsby.ucl.ac.uk/teaching/courses/ml1-2016.html"

#If there is no such folder, the script will create one automatically
folder_location = r'E:\webscraping'
if not os.path.exists(folder_location):os.mkdir(folder_location)

response = requests.get(url)
soup= BeautifulSoup(response.text, "html.parser")     
for link in soup.select("a[href$='.pdf']"):
    #Name the pdf files using the last portion of each link which are unique in this case
    filename = os.path.join(folder_location,link['href'].split('/')[-1])
    with open(filename, 'wb') as f:
        f.write(requests.get(urljoin(url,link['href'])).content)

couple of links where already containing the server address which caused the 404 not found. Also you should not remove the .pdf from the filename as it will save it without extension.

from urllib import request
from bs4 import BeautifulSoup
import re
import os
import urllib

# connect to website and get list of all pdfs
url="http://www.gatsby.ucl.ac.uk/teaching/courses/ml1-2016.html"
response = request.urlopen(url).read()
soup= BeautifulSoup(response, "html.parser")     
links = soup.find_all('a', href=re.compile(r'(.pdf)'))


# clean the pdf link names
url_list = []
for el in links:
if(el['href'].startswith('http')):
    url_list.append(el['href'])
else:
    url_list.append("http://www.gatsby.ucl.ac.uk/teaching/courses/" + el['href'])

print(url_list)


# download the pdfs to a specified location
for url in url_list:
    print(url)
    fullfilename = os.path.join('E:\webscraping', url.replace("http://www.gatsby.ucl.ac.uk/teaching/courses/ml1-2016/", ""))
    print(fullfilename)
    request.urlretrieve(url, fullfilename)