According to the source, the output (train_images, train_labels), (test_images, test_labels) are “Tuple of Numpy arrays”. Therefore, when you call load_data() they are loaded into your memory from their origin (https://www.cs.toronto.edu/~kriz/cifar-10-python.tar.gz). If you want to download them as well, you will have to do that separately on your own (some inspiration could be taken from here). Remember, the function name is load_data(), and not download_data(), where load refers to memory, and download refers to disk.
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