What phone are you using? I understand you checked your settings. Did that include verifying that your APN settings included the MMS information? You can verify the APN settings here.
Have you verified that your data is enabled? While the data within a MMS does not count against any data allocations, the setting does need to be enabled in order to send/receive properly. Are you able to use data otherwise?
Are you using the phone's stock messaging app or a different one?
Hope this helps 😀