Changing the urlopen call to a curl commnand invoke works.

$ export http_proxy=socks5://127.0.0.1:8888 https_proxy=socks5://127.0.0.1:8888

# this will raise an exception with string representation is a blank string
# at least for url: https://s3.amazonaws.com/mozilla-games/emscripten/packages/llvm/tag/linux_64bit/emscripten-llvm-e1.37.35.tar.gz

from urllib2 import urlopen, HTTPError

    u = urlopen(url)
    mkdir_p(os.path.dirname(file_name))
    with open(file_name, 'wb') as f:
      file_size = get_content_length(u)
      if file_size > 0: print("Downloading: %s from %s, %s Bytes" % (file_name, url, file_size))
      else: print("Downloading: %s from %s" % (file_name, url))

      file_size_dl = 0
      block_sz = 8192
      while True:
          buffer = u.read(block_sz)
          if not buffer:
              break

          file_size_dl += len(buffer)
          f.write(buffer)


# this alternative way works

import commands

    status, output = commands.getstatusoutput("curl -L --output " + file_name + " " + url)

I think this is caused by the fact that socks5 proxies are not supported?

$ cat ~/issue34038.py
from urllib.request import urlopen, HTTPError

url = 'http://icanhazip.com'
u = urlopen(url)

$./python.exe ~/issue34038.py
Traceback (most recent call last):
  File "/Users/dwallace/issue34038.py", line 4, in <module>
    u = urlopen(url)
  File "/Users/dwallace/workspace/cpython/Lib/urllib/request.py", line 222, in urlopen
    return opener.open(url, data, timeout)
  File "/Users/dwallace/workspace/cpython/Lib/urllib/request.py", line 524, in open
    response = self._open(req, data)
  File "/Users/dwallace/workspace/cpython/Lib/urllib/request.py", line 541, in _open
    result = self._call_chain(self.handle_open, protocol, protocol +
  File "/Users/dwallace/workspace/cpython/Lib/urllib/request.py", line 502, in _call_chain
    result = func(*args)
  File "/Users/dwallace/workspace/cpython/Lib/urllib/request.py", line 804, in <lambda>
    meth(r, proxy, type))
  File "/Users/dwallace/workspace/cpython/Lib/urllib/request.py", line 832, in proxy_open
    return self.parent.open(req, timeout=req.timeout)
  File "/Users/dwallace/workspace/cpython/Lib/urllib/request.py", line 524, in open
    response = self._open(req, data)
  File "/Users/dwallace/workspace/cpython/Lib/urllib/request.py", line 546, in _open
    return self._call_chain(self.handle_open, 'unknown',
  File "/Users/dwallace/workspace/cpython/Lib/urllib/request.py", line 502, in _call_chain
    result = func(*args)
  File "/Users/dwallace/workspace/cpython/Lib/urllib/request.py", line 1386, in unknown_open
    raise URLError('unknown url type: %s' % type)
urllib.error.URLError: <urlopen error unknown url type: socks5>

Though the error message could be better.

You can work around this by setting the default socket.

import urllib.request
import socket
import socks

url = 'http://icanhazip.com'
socks.set_default_proxy(socks.SOCKS5, "localhost",port=8888)
socket.socket = socks.socksocket
print(urllib.request.urlopen(url).read())