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Hello,
Thank you for using AWS SageMaker.
With regards to your question that you would like to know if there is any option to directly copy/download the data to SageMaker training job resource eliminating S3. Unfortunately due to architecture design, it is not possible to directly load/copy data onto underlying instance of SageMaker training job and users need to have training data stored on S3 bucket. To speedup the training process, we recommend using Pipe mode along your algorithm supports[1][2].
Hope my above response helps you.
Reference:
[1] https://docs.aws.amazon.com/sagemaker/latest/dg/cdf-training.html
[2] https://aws.amazon.com/blogs/machine-learning/using-pipe-input-mode-for-amazon-sagemaker-algorithms/
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@kartik_R - i might be wrong on this, but isn't code copied to /opt/... , inside the container where training runs. not sure about the data, but i was assuming similar thing for data as well, where it is copied locally