I'd suggest checking the security logs on the server where the files are located if possible. There's got to be a message somewhere even though the Agent and package didn't throw an explicit error.

Also, here's a link with some in-depth troubleshooting tips:

I had a package once where I experienced this problem and tried using my account (which has Domain Admin rights) for the proxy but still didn't work until we created a specific account for the proxy with rights to the folders we needed.