According to your description, when connecting to Excel file published in SharePoint site and typing credential, the “Access denied” error throws out, right?
In your scenario, you mentioned you have access permission to Excel, but it doesn’t mean that you have permission to access the site exactly. You can type the site URL in browser to see if you are able to access.
To get Excel data, you can ask SharePoint administrator grant you permission to access the folder which contains the Excel file. Then you can type URL which points to the folder in Power BI.
If you have any question, please feel free to ask.
Best regards, Qiuyun Yu
Community Support Team _ Qiuyun Yu If this post helps, then please consider Accept it as the solution to help the other members find it more quickly.