Most likely the path is not accessible to the service account running the SQL server agent ... it is not just the SQL login to the database you need to be the same. Try adding an "Operating System (CmdExec)" step that just does a "dir" of the path you expect the file to be on and check what that is showing. A "Operating System (CmdExec)" step running "whoami" is also useful for checking exactly which account your job is running as.

The other common issue I see people have with jobs like that is assuming a mapped drive they normally use would be available to SQL server agent - earlier question about UNC paths is on the correct line here - so e.g. if you expected the file to be on U:\Folder\file.xls but U: was actually a mapping to \\AnyServer\Anyshare you are best using \\AnyServer\AnyShare\Folder\file.xls as the path to load the file from.

Then you also need to make sure that the service account running SQL Server agent has the appropriate rights to both the share AND the folder and file itself (i.e. network access rights to the share and file access rights to the folder and file).