Check to make sure your file is supported in OneNote Online:

1. Ensure that the file you’re inserting is supported in OneNote Online. See the list of supported file types.
2. Check your network settings. If you are attempting to insert media files, such as a .mp3 or .mp4 file, your network maybe blocking those types of files. This could also be the case if you are attempting to connect to a cloud service such as OneDrive.
3. Test the file in a different browser to make sure it’s not a browser related issue.