Power Query expression error - how to locate excel file causing error

Hello Anonymous 

this depends all how your query is structured. If you are reading thousands of files, then you have probably a table of all files where you are applying a custom function to extract the data. You can go to see this step and see witch file produces this error. You could also go to the function and add some errorhandling (example instead of giving back a table you can give back information about the file in table format) that you are able to identify the error easier

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Have fun

Jimmy