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Connecting to REST APIs via OAuth2 in Power BI

Chris Webb has an answer, but you may not like it:

There are a lot of articles and blog posts out there on how to handle OAuth2 authentication when connecting to REST APIs from Power Query in Power BI. However there is also a lot of confusion and contradictory information too so in this post I want to give you the definitive, Microsoft-endorsed answer to this question, which is:

If want to connect from Power BI to a REST API that uses OAuth2 authentication then you need to build a custom connector.

Read on for documentation showing how to implement and the big risk you’re taking if you don’t use a custom connector.