Hi there!
How is the file referenced in your data source? And, is the file on a cloud storage service like Dropbox or Google Drive?
To be sure the reference must be a direct download and not protected by some kind of sharing service where the actual link might be different from the actual file itself. Further, the reference must contain a file extension for AE to be able to interpret it.
We are working on a method to support Dropbox and other sync services like google Drive, but S3 links are supported.
Does this help?