Hi,
Please follow the below 4 step process.
You can see now here is my system drives
Step 1: Now, I will be going to connect my external harddrive of 2 TB WDPaasport
In above picture you will see now My Passport (D:)
Step 2: Open ArcGIS Pro
Step 3: Add folder connection in Catalog pane
I have browsed and connected the demo folder from My Passport external hard drive (D: Drive)
Step 4: Select the image and drag and drop on top of base map