The new Power BI Desktop has a data source specifically for SharePoint Lists.
This works quite well but doesn’t currently support document libraries (even though they are also SharePoint lists). If you connect to your SharePoint Online site you’ll find that the document libraries are not available through the SharePoint List data source, only lists.
If you want to connect to your document libraries (for example if you wanted to report on the number of documents being uploaded) you can do this through the OData feed instead.
The URL for the OData feed is: https://yoursharepointsite/_vti_bin/listdata.svc to bring up all the lists and document libraries in Power BI Desktop or if you want to connect to a specific list the URL will be: https://yoursharepointsite/_vti_bin/listdata.svc/ListName.
Once you have created a connection to your list or document library, you can use the table of items as a data source and create dashboards and reports based on this data.
