FRED - Federal Reserve of Economic Data
Go to https://research.stlouisfed.org/docs/api/api_key.html and obtain your API Key to use FRED APIs.
Click '+' button next to 'Data Frames' and select 'Import Cloud Apps Data'.
Click 'FRED (Economic Data)'.
Create connection from here if you don't have.
Type connection name and FRED API Key. Test connection and if it works ok, click "Add" button.
Type in Series ID, e.g. UNRATE for unemployment rate, and select Start Date. You can search Series ID in https://fred.stlouisfed.org/tags/series
Click "Run". If the preview is okay, click "Import".