Importing data into Power BI happens inside the Query Editor. A task to import data from one or more data sources into Power BI is called a Query, and a Query consists of one or more Steps, each of which either connect to a data source or transform the data in some way. All of the data sources supported by Power BI Desktop are listed in the Get Data dialog and include text files such as csv files and Excel, relational databases, web pages, Azure services, third-party cloud services, OData feeds and many more. You can also enter your own data by typing it into a freeform grid.
When loading data from different data sources, you must take into account issues such as the locale of the data source, which could affect date and number formats used, and also how Power BI should authenticate when connecting to the data source. There are also many other configurable options on the Options dialog.