Make sure that any existing firewalls allow access to the desired resource.
If a browser is installed on the Connect server and the request is an http GET request, try to access the resource with it. Otherwise use Invoke-WebRequest (Windows PowerShell) or curl (Linux / macOS) to execute the request. Check the corresponding error messages.
On the Connect server, create a connection to the desired target system and run a connection test (if available). If necessary, check the error messages that appear in the user interface and on the console.