This really depends on how you are doing your connection and in some instances it is not possible, but you can append Username and Password to a URL to pass your credentials, such as defined here (for other languages but you get the gist):
https://www.connectionstrings.com/sharepoint/
Now the reality is, you probably aren't doing a REST connection and you might have to as discussed here:  https://www.experts-exchange.com/questions/28628642/Excel-VBA-code-using-authentication-to-SharePoint.html
They recommended:
Public Sub CopyToSharePoint()
On Error GoTo err_Copy
Dim xmlhttp
Dim sharepointUrl
Dim sharepointFileName
Dim tsIn
Dim sBody
Dim LlFileLength As Long
Dim Lvarbin() As Byte
Dim LobjXML As Object
Dim LstrFileName As String
Dim LvarBinData As Variant
Dim PstrFullfileName As String
Dim PstrTargetURL As String
Dim fso As Object
Set fso = CreateObject("Scripting.FileSystemObject")
Dim fldr As Folder
Dim f As File
Dim pw As String
Dim UserName As String
Dim RetVal
Dim I As Integer
Dim totFiles As Integer
Dim Start As Date, Finish As Date
UserName = InputBox(Username?") pw = InputBox("Password?")
sharepointUrl = "[http path to server]/[server folder to write to]"
Set LobjXML = CreateObject("Microsoft.XMLHTTP")
Set fldr = fso.GetFolder(CurrentProject.Path & "\[folder with files to
upload]\") totFiles = fldr.Files.Count
For Each f In fldr.Files
  sharepointFileName = sharepointUrl & f.Name
'****************************   Upload text files 
**************************************************
  If Not sharepointFileName Like "*.gif" And Not sharepointFileName
Like "*.xls" And Not sharepointFileName Like "*.mpp" Then
    Set tsIn = f.OpenAsTextStream
    sBody = tsIn.ReadAll
    tsIn.Close
  
    Set xmlhttp = CreateObject("MSXML2.XMLHTTP.4.0")
    xmlhttp.Open "PUT", sharepointFileName, False, UserName, Password
    xmlhttp.Send sBody
       Else
'****************************   Upload binary files 
**************************************************
  
    PstrFullfileName = CurrentProject.Path & "\[folder with files to upload]\" & f.Name
    LlFileLength = FileLen(PstrFullfileName) - 1
    ' Read the file into a byte array.
    ReDim Lvarbin(LlFileLength)
    Open PstrFullfileName For Binary As #1
    Get #1, , Lvarbin
    Close #1
    ' Convert to variant to PUT.
    LvarBinData = Lvarbin
    PstrTargetURL = sharepointUrl & f.Name
    ' Put the data to the server, false means synchronous.
    LobjXML.Open "PUT", PstrTargetURL, False, Username, Password
   ' Send the file in.
    LobjXML.Send LvarBinData
  End If
     I = I + 1   RetVal = SysCmd(acSysCmdSetStatus, "File " & I & " of " & totFiles & " copied...")    Next f
  RetVal = SysCmd(acSysCmdClearStatus)   Set LobjXML = Nothing   Set
fso = Nothing
err_Copy: If Err <> 0 Then   MsgBox Err & " " & Err.Description End If
End Sub 
Realistically, I think this answer may get you going down the right road:  https://sharepoint.stackexchange.com/questions/255264/sharepoint-api-and-vba-access-denied
Regardless, this is a problem and good luck.  I had better luck using MS Access to link the list as a table and then using Excel to just call Access and get what I needed.
Private Sub cmdSyncSP_Click()
On Error GoTo ErrorCode
    Application.Cursor = xlWait
    Dim app As New Access.Application
    'Set app = CreateObject("Application.Access")
    app.OpenCurrentDatabase Application.ActiveWorkbook.Path & "\SP_Sync.accdb"
    app.Visible = False
    app.Run "doManualCheck"
    app.CloseCurrentDatabase
    Set app = Nothing
    MsgBox "Sync has finished.  Refresh and proceed to copy your data.", vbInformation + vbOKOnly, "Success"
ExitCode:
    On Error Resume Next
    Application.Cursor = xlDefault
    Exit Sub
ErrorCode:
    MsgBox "Error " & Err.Number & ": " & Err.Description, vbCritical, "Sync Error"
    Resume ExitCode
End Sub