The port is 5306 and not 3306. I had the same problem two years ago and they answered me that:

helpdesk@ensembl.org, on May 22th 2008: From release 48 onwards the Ensembl databases are on port 5306 instead of 3306 of ensembldb…

I asked them if they could update their docs but they didn't do it yet, I don't know why.

Well this works for me so my guess would be you need to check your firewall settings (both outgoing and incoming http://www.ensembl.org/info/data/mysql.html )

<?php
$link = mysql_connect('ensembldb.ensembl.org:3306', 'anonymous', '');

if (!$link) {
    die('Could not connect: ' . mysql_error());
}
echo 'Connected successfully';

$db_list = mysql_list_dbs($link);

while ($row = mysql_fetch_object($db_list)) {
     echo $row-&gt;Database . "\n";
}

mysql_close($link);
?>