Connecting to shared Excel sheet from Sharepoint

Hi Huzy001 ,

According to your description, the excel file downloaded to the local area is directly connected by way of connect to excel. But on SharePoint online the files are connected in a different way.

There are three ways.

For example: SharePoint list
Find the address (also called URL) of the SharePoint Online site that contains your list. From a page in SharePoint Online, you can usually get the site address by selecting "Home" in the navigation pane or the site icon at the top and copying the address from the address bar of your web browser. Copy this URL in powerbi, log in to your Microsoft Account, and finally connect to this file.

For more detail, you can read related document and blog.

Create a report on a SharePoint List in Power BI Desktop - Power BI | Microsoft Docs

Quick steps for connecting to SharePoint using Pow... - Microsoft Power BI Community

If the problem is still not resolved, please point it out. Looking forward to your reply.

Best Regards,
Henry

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