Reports based on Dynamics

Hello JWharton 

You may need to create a Power BI report using OData feed connection. OData connection will take the Data entities of Dynamics 365 as data source to create reports.

Please refer to these related threads for more details.

Power BI with Microsoft Dynamics 365 for Finance and Operations 

How to Connect Power BI to D365 Finance and Operations 

YouTube_Power BI Odata connection to Dynamics 365 Finance and Operations data entities 

If the above does not solve your problem, then we need to look at the Power Query Level to check if no filters have been applied on any of the tables, as if some data is getting loaded in the PBI, which means you might be connecting correctly.