You may be having issues with Excel files in SharePoint or OneDrive not linking correctly to Power Bi, when you try to use the URL to the file from your browser to connect web addresses you may see errors like below.
The fix for this is simple but slightly different from how you'd expect this process to work.
1. in Excel Online click Editing in Ribbon then Open in Desktop
2. In Excel Desktop browse to File / Info and then press the Copy Path button
3. Paste the URL into Notepad and remove the ?web=1 from the end of it
4. Copy what's left and paste that into the PBI Data Source:
Now it will correctly validate credentials. We think the problem is SharePoint not providing the real link to the file and instead providing the web-based opening link as the URL when copying from there