The data connection uses Windows Authentication and user credentials could not be delegated

As detailed in this post on the topic, you may sometimes see the follow error message when running a PowerPivot report (either when opening the report, running an explicit data refresh, or it may pop up on its own if the worksheet is setup to refresh automatically).  You may also encounter this error in other instances unrelated to PowerPivot.

In my case, when I see this in combination with a SharePoint installation (2010 or 2013), I’ve often found that the advice in the article regarding setting the Claims to Windows Token Service to use the Local System Account, is actually what resolves this.

From the article:

What account is the Claims to Windows Token Service running as? By default it is configured to run as Local System, and I am not aware of the reasons for changing this configuration (the msdn article also refers to the fact that it should be running as Local System).  If you have permissions, switch it back to Local System and try the scenario again.

To do this, follow these steps:

Go into your services window and find the Claims to Windows Token Service.  You may find that the service is running as a SharePoint service account.

Double click on the Service to open the dialog, and under the “Log On” tab, change this to the Local System account.

Click OK to commit the change.  I recommend you make this change on all servers in your farm, but for certain, you’ll need to do this on any server running the PowerPivot Analysis Services instance.

That’s really all there is to it.  Hopefully this resolves your authentication delegation issues.