The most likely cause of any connection issues are when users are not:
using Python 3
using the most up to date version of the CDS API
So before trying anything else check these two things.
Timeout Error
If you're seeing something a message like this:
If you are still experiencing connection issues
WARNING Recovering from connection error [HTTPSConnectionPool(host='cds.climate.copernicus.eu', port=443): Max retries exceeded with url: /api/v2/tasks/7b4e735b-5a79-4913-bbcb-cebc0c65b420 (Caused by ConnectTimeoutError(<urllib3.connection.VerifiedHTTPSConnection object at 0x7f81056e8940>, 'Connection to cds.climate.copernicus.eu timed out. (connect timeout=60)'))], attempts 12 of 500