Power Query provides an intuitive interface to connect and import data from a wide variety of external and internal data sources such as Web sites, files, folders, databases, and other sources including SharePoint lists, Microsoft Azure Marketplace, Hadoop file, and Facebook.
For detailed information about connecting to various data sources using Power Query, see Import data from external data sources in the Power Query for Excel Help.
After connecting to the required data source, you can improve the dataset by filtering, shaping, and transforming it using Power Query. For information about improving your data, see Filter, Shape, and Transform the Imported Data.
Data Management Experience in Power BI for Office 365 Help