I had the same problem and churned on it for a few hours. The problem turned out to be I was using the E-trade app on my phone to try and find the Security Setting to allow third-party data sharing. There is no such setting on the mobile app. I finally logged in to Etrade online and boom there it was under my account profile / security setting /
I selected "Allow" and tried it again from TurboTax and it worked.
