There is urlretrieve() that downloads an url to a file and allows to specify a reporthook callback to report progess:
#!/usr/bin/env python3
import sys
from urllib.request import urlretrieve
def reporthook(blocknum, blocksize, totalsize):
    readsofar = blocknum * blocksize
    if totalsize > 0:
        percent = readsofar * 1e2 / totalsize
        s = "\r%5.1f%% %*d / %d" % (
            percent, len(str(totalsize)), readsofar, totalsize)
        sys.stderr.write(s)
        if readsofar >= totalsize: # near the end
            sys.stderr.write("\n")
    else: # total size is unknown
        sys.stderr.write("read %d\n" % (readsofar,))
urlretrieve(url, 'downloaded_file.py', reporthook)
Here's a GUI progress bar:
import sys
from threading import Event, Thread
from tkinter import Tk, ttk
from urllib.request import urlretrieve
def download(url, filename):
    root = progressbar = quit_id = None
    ready = Event()
    def reporthook(blocknum, blocksize, totalsize):
        nonlocal quit_id
        if blocknum == 0: # started downloading
            def guiloop():
                nonlocal root, progressbar
                root = Tk()
                root.withdraw() # hide
                progressbar = ttk.Progressbar(root, length=400)
                progressbar.grid()
                # show progress bar if the download takes more than .5 seconds
                root.after(500, root.deiconify)
                ready.set() # gui is ready
                root.mainloop()
            Thread(target=guiloop).start()
        ready.wait(1) # wait until gui is ready
        percent = blocknum * blocksize * 1e2 / totalsize # assume totalsize > 0
        if quit_id is None:
            root.title('%%%.0f %s' % (percent, filename,))
            progressbar['value'] = percent # report progress
            if percent >= 100:  # finishing download
                quit_id = root.after(0, root.destroy) # close GUI
    return urlretrieve(url, filename, reporthook)
download(url, 'downloaded_file.py')
On Python 3.3 urlretrieve() has different reporthook interface (see issue 16409). To workaround it, you could access the previous interface via FancyURLopener:
from urllib.request import FancyURLopener
urlretrieve = FancyURLopener().retrieve
To update the progress bar within the same thread, you could inline urlretrieve() code:
from tkinter import Tk, ttk
from urllib.request import urlopen
def download2(url, filename):
    response = urlopen(url)
    totalsize = int(response.headers['Content-Length']) # assume correct header
    outputfile = open(filename, 'wb')
    def download_chunk(readsofar=0, chunksize=1 << 13):
        # report progress
        percent = readsofar * 1e2 / totalsize # assume totalsize > 0
        root.title('%%%.0f %s' % (percent, filename,))
        progressbar['value'] = percent
        # download chunk
        data = response.read(chunksize)
        if not data: # finished downloading
            outputfile.close()
            root.destroy() # close GUI
        else:
            outputfile.write(data) # save to filename
            # schedule to download the next chunk
            root.after(0, download_chunk, readsofar + len(data), chunksize)
    # setup GUI to show progress
    root = Tk()
    root.withdraw() # hide
    progressbar = ttk.Progressbar(root, length=400)
    progressbar.grid()
    # show progress bar if the download takes more than .5 seconds
    root.after(500, root.deiconify)
    root.after(0, download_chunk)
    root.mainloop()
download2(url, 'downloaded_file.py')