As shown in the screenshot below, I was trying to consume data from SQL Server Analysis Services cube using Excel 2010 Pivot Table.

Refreshing and filtering data worked as expected on the client but when I published my workbook to Excel Services, filtering and slicing produced the following error

“The data connection uses Windows Authentication and Excel Services is unable to delegate user credentials.”
Of course, the workbook existed in a trusted location and the external data connection file resided in a trusted connection library.

To solve this issue, I navigated to the Central Administration and started “Claims to Windows Token services” as shown below :

This allowed me to refresh data using Windows Authentication…