It should be from the same domain but that's something I need to double confirm.

I managed to fix this issue by using a dos batch file as an alternative solution. Meaning, I run the entire process on DOS rather than inside SSMS.

1) Move the file from network path to a local drive

2) Run the store procedure using SQLCMD

But, it is interesting to know what happen. I tested it in my DEV machine accessing the shared folder on another computer. No problem at all.

When I moved the script to LIVE server, it doesn't work and not able to pick up any files at all. Initial thought, it could be some server level or database settings that prohibits me from browsing other network directory but I don't recall there are such settings.

Thanks for your ideas.