Since this is the first question that comes up when searching for OSError: Error reading file failed to load external entity; I want to share a more general quick tip that helped me identify the problem and makes the error message more informative in the future:

import os

if not os.path.isfile(filename):
    raise FileNotFoundError(filename)

By adding this check before parsing the file, you can immediately verify whether the file path is correct and get a much clearer error message if the file does not exist.