The easiest way is to expose your Mendix entities as an OData service which can be read by Power BI.

https://docs.mendix.com/howto/integration/exposing-data-to-bi-tools-using-odata

https://docs.microsoft.com/en-us/power-bi/desktop-connect-odata

Depending on the use case, i had several cases where it was enough to add a download to excel or dowload to csv button to a data grid.

The user could then upload the dowloaded file to PowerBI.