I connected 3 times to TD Ameritrade. It connected downloaded the data. I clicked Continue and all data disappeared.

[Cynthiad66]

Try clearing your cache and deleting cookies; if the issue persists, try using a different browser altogether. With that being said, it may also be beneficial to check your brokerage to see if they are allowing third-party access. Although the following Help Article is for Schwab, it is possible that your brokerage has restricted TurboTax's access to your statements unless you grant consent, and you might need to do something similar to what is described here: 1099 Import Issues.  Per @EbonyA