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Clearly regressing. In Python 2 it was IOError exception:
>>> import urllib
>>> urllib.urlretrieve('missing')
Traceback (most recent call last):
 File "<stdin>", line 1, in <module>
 File "C:\pp\lib\urllib.py", line 93, in urlretrieve
 return _urlopener.retrieve(url, filename, reporthook, data)
 File "C:\pp\lib\urllib.py", line 239, in retrieve
 fp = self.open(url, data)
 File "C:\pp\lib\urllib.py", line 207, in open
 return getattr(self, name)(url)
 File "C:\pp\lib\urllib.py", line 462, in open_file
 return self.open_local_file(url)
 File "C:\pp\lib\urllib.py", line 476, in open_local_file
 raise IOError(e.errno, e.strerror, e.filename)
IOError: [Errno 2] The system cannot find the file specified: 'missing'
>>>