most likely permissions, because the startup account of SQL server doesn't have access to the network share.

When you touch anything outside of a database, SQL server does not use the account you intuitively think it should be using.

Even though you, yourself, are an admin or domain admin, SQL doesn't use YOUR credentials for the network path.

SQL Server uses either the account set up as the proxy account, or if that is left blank(the default) it uses account it starts with to try and access the resource:

or if the above was blank, the account in services:

if you are a sysadmin on the SQL server, it will use the account in services no matter what.

:

That account is often an account which has never logged into the domain, and was never assigned permissions to get to the local disk or network share.

As a result, you usually need to create a domain account in Active Directory, specifically grant it share access if it doesn't inherit it from Domain\Users or Domain\AuthenticatedUsers and change the account SQL Server starts with to that account.

Once that is done, and you stop and start the SQL service to make it use that account instead of old running values, your linked server/xp_cmdshell would work.

you can prove this is the issue by simply putting in your credentials, with your domain account and password, and confirm the external object you were trying to access/use works when SQL is run your credentials, so you'd know you need a domain account to access the resource.