Click Get Data (Power Query) on the Data tab.

You can now import data from local Excel workbooks or text & CSV files. See this support article to check which version you’re using. This new functionality is available to Beta channel users running version 16.50 (build 21050400) or later. Now you can import data from local files including Excel workbooks and text & CSV files. We’ve received many requests for this feature after the introduction of PQ query refresh. We are excited to announce a new update to Power Query (PQ) in Excel for Mac – the ability to import data from local files.