Start with the basics: the connection string or access key is correct, the resource exists in the namespace/account you're pointing at, and your machine can reach the endpoint (no VPN or firewall blocking outbound to :443).
For Azure Service Bus with Entra ID auth: make sure your account has the Azure Service Bus Data Receiver role at minimum. For AWS SQS: the IAM principal needs sqs:ReceiveMessage, sqs:GetQueueAttributes, and (for management) sqs:ListQueues.