Hi @Pravash ,
Thank you for posting query in Microsoft Q&A Platform.
As per the below document which you are following, you should actually create linked service which is "Sharepoint Online List" connector.
https://learn.microsoft.com/en-us/azure/data-factory/connector-sharepoint-online-list?tabs=data-factory#copy-file-from-sharepoint-online
Sharepoint Online List connector will ask to provide Site URL details. Not base URL. Kindly check below screenshots for better idea.
The SharePoint Online site url, e.g. https://contoso.sharepoint.com/sites/siteName
Hope this will help. Please let us know if any further queries.
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