I had a similar issue and found an easy fix.

I am using pandas to read an excel file in the same folder as my python file. When running my file from cmd prompt, everything works great. When I ran the file from VS Code it would always say FileNotFound.

The Fix: In VS Code, use the file explorer and ensure you are in the folder containing your file and NOT a step or two higher in the file hierarchy. I had a "Python Projects" folder open and the files for this specific project were in a subfolder...when I navigated to just the subfolder specific to my project in VS code using "open folder", it fixed the issue.