Error: "Client unable to establish connection Failed to get security cookies of SPOnline" Connecting to Sharepoint List Online

Issue

When attempting to connect to list on SharePoint Online, the following errors may occur:

Client unable to establish connection You must either set an auth cookie or specify a username and password to connect to SharePoint Online
Failed to get security cookies of SPOnline.

Client unable to establish connection HTTP protocol error. 404 Not Found.

Environment

Tableau Desktop
Microsoft SharePoint Online

Resolution

Make sure that the correct URL is being used for the connection:

Site Name does work: https://example.sharepoint.com/sites/SiteName
Site Collection does work: https://example.sharepoint.com/sites/SiteName/CollectionName
Base domain name does not work: https://example.sharepoint.com
Direct URL does not work: https://example.sharepoint.com/sites/SiteName/CollectionName/SitePages/Home.aspx
OData Service List URL does not work: https://example.sharepoint.com/sites/SiteName/_vti_bin/Listdata.svc
OData Service URL does not work: https://example.sharepoint.com/sites/SiteName/_vti_bin/Listdata.svc/OtherName

Additional Information

If you can successfully connect to Sharepoint but no list is shown (to view an example, see the screenshot attached to this article) you are likely using the wrong link. Refer to the internal SharePoint administrator to get the correct link.