If you're using Python 3, have a look at concurrent.futures.ThreadPoolExecutor
Example pulled from the docs ThreadPoolExecutor Example:
import concurrent.futures
import urllib.request
URLS = ['http://www.foxnews.com/',
        'http://www.cnn.com/',
        'http://europe.wsj.com/',
        'http://www.bbc.co.uk/',
        'http://some-made-up-domain.com/']
# Retrieve a single page and report the url and contents
def load_url(url, timeout):
    conn = urllib.request.urlopen(url, timeout=timeout)
    return conn.readall()
# We can use a with statement to ensure threads are cleaned up promptly
with concurrent.futures.ThreadPoolExecutor(max_workers=5) as executor:
    # Start the load operations and mark each future with its URL
    future_to_url = {executor.submit(load_url, url, 60): url for url in URLS}
    for future in concurrent.futures.as_completed(future_to_url):
        url = future_to_url[future]
        try:
            data = future.result()
        except Exception as exc:
            print('%r generated an exception: %s' % (url, exc))
        else:
            print('%r page is %d bytes' % (url, len(data)))
If you're using Python 2, there is a backport available:
ThreadPoolExecutor Example:
from concurrent import futures
import urllib.request
URLS = ['http://www.foxnews.com/',
        'http://www.cnn.com/',
        'http://europe.wsj.com/',
        'http://www.bbc.co.uk/',
        'http://some-made-up-domain.com/']
def load_url(url, timeout):
    return urllib.request.urlopen(url, timeout=timeout).read()
with futures.ThreadPoolExecutor(max_workers=5) as executor:
    future_to_url = dict((executor.submit(load_url, url, 60), url)
                         for url in URLS)
    for future in futures.as_completed(future_to_url):
        url = future_to_url[future]
        if future.exception() is not None:
            print('%r generated an exception: %s' % (url,
                                                     future.exception()))
        else:
            print('%r page is %d bytes' % (url, len(future.result())))