This seems to be a frequent problem. I too have spent hours trying to setup my new Roku Premier device. It links to my wi-fi just fine (based on the green progress checks). I have tried everything in the online help instructions including using multiple wi-fi networks.
Do you have any new suggestions before I return my device for a refund?
What are the model numbers of the Roku devices you are trying to update? Also are you in the Roku Home Screen (completed setup) or stuck in the setup at the initial update. (ie. not seeing Roku's Home Screen)?
Some have found connecting to a mobile hotspot to do update has worked for them, but with more info on models may be able to provide other steps. Another troubleshooting was to disable your network password (Wireless Security Settings) to allow device to connect to network to then allow for update. Couple of different reasons why 003 seems to be thrown. It could also be a device issue so can't rule that out either yet.
Sometimes just a simple rebooting of both the router and the device will also fix issue for some.
For more information about resolving this specific error message and unable to update issue, visit our Support page here: look at the troubleshooting steps provided by our Support page here: How do I update the software on my Roku TV™?