I had the same problem but E*trade customer service was able to tell me how to fix the problem.
If using E*trade, log into it and select your profile icon in the top right corner.
Select Security Settings from the drop down tabs.
Select Manage Third-Party data sharing.
Select Yes to allow Third-Party Data Sharing.
Select Save.
My account was previously set to allow third party data sharing but customer service told me to select Save anyway. Once I did that, my Turbotax E*trade downloads worked.
