You can't run it under a domain account. R security is configured under the scenes - it uses a local windows account (sets it up automatically when you install R Services (In-Database). I have managed to grant permissions to the share to the Everyone group, and create a local account with the same name on the server that hosts the network share - this gives the local account on my SQL server access to the share without problems - i have tested it by logging in as that local user on the SQL server. But the sp_execute_external_script command still fails with 'No such directory'. I think this is 'by design' or just overlooked by Microsoft. Other people have posted about the same issue without posing resolutions. Maybe SQL 2017 is different. For now i have resorted to using a local share....