Dear Paul,
Good day.
Thank you for posting in Microsoft Community.
According to your description, we understand you want to import data from SharePoint file into Excel and use anonymous access.
When we test from our side, we can reproduce the same error message 'We couldn't authenticate with the credentials provided' when we connect anonymously. We're afraid it's not available to grant anonymous access to access files in SharePoint. Thanks for your understanding.
And we also tried to connect by using an organization account, unfortunately we still get the same error message.
We do understand the inconvenience caused and apologize for it. Given the situation, we sincerely recommend you feedback for this situation via Help menu>Feedback or File>Feedback within Excel. This is the best way to let Excel developers aware of the situation, know your requirement and help improve the product.
At the same time, we will also try to feedback from our side.
For a workaround, if you are willing, you may firstly sync files from the SharePoint library where the Excel file is saved. You can click the Sync button from ribbon in the SharePoint library to sync files.
In Excel, go to Data tab>Get Data>From File>From Excel workbook, then navigate to the SharePoint sync folder and choose your Excel file > click Import >choose a sheet and click Load to load data.
Screenshots and article for your reference:
Sync SharePoint and Teams files with your computer (microsoft.com)
Thanks for your patience and understanding.
Hope you keep safe and healthy always!
Sincerely,
Tina | Microsoft Community Moderator
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