Please give a screenshot as below to tell the version of Excel you are using.
File>Account>Product Information>About Excel
Note: please cover your private information if there is.
How do you connect to the Dynamic data?
It would be better to give the detailed steps.
Besides, I found a third-party link which may be related to your issue. It may be helpful for you.
https://carldesouza.com/error-connecting-to-dynamics-365-from-excel-cannot-download-the-information-you-requested/
Note: Microsoft is providing this information as a convenience to you. The sites are not controlled by Microsoft. Microsoft cannot make any representations regarding the quality, safety, or suitability of any software or information found there. Please make sure that you completely understand the risk before retrieving any suggestions from the above link.
Thanks for your understanding.
Regards,
Erin
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