How can I load data from Azure File Share

Hi Anonymous 

You could refer to this old discussion: getting data from azure file share - Microsoft Power BI Community. I'm afraid the behavior still hasn't changed from then.

Currently Power BI doesn't support to connect to a file stored in Azure File Share in Azure portal. If you mount the Azure file share with File Explorer in your local computer, then you can connect to a file in that drive with Power BI Desktop. But this only works on the specific computer that mounts Azure file share. And if the report is published to Power BI Service, it cannot be refreshed in Power BI Service. It is not supported by on-premises data gateway either. 

You can store these files in Azure Blob Storage or OneDrive/Sharepoint which are supported by Power BI. See all supported data sources at Power BI data sources - Power BI | Microsoft Docs

Best Regards,
Community Support Team _ Jing
If this post helps, please Accept it as Solution to help other members find it.