Thank you for pointing me towards hg bisect. I got some time to look into it and was able to find the commit that broke this functionality.

A fix from Python 3 was backported in issue "urllib hangs when closing connection" which removed a call to ftp.voidresp(). Without this call the second download using urlretrieve() now fails in 2.7.12.

Issue ID:
http://bugs.python.org/issue26960

Commit ID:
https://hg.python.org/cpython/rev/44d02a5d59fb

voidresp() itself calls getresp(). So issue26960 could be because control never returns from getresp().

In my opinion this commit (101286) should be reverted and getresp() should be updated with some sort of timeout to fix issue26960.