Hi,
If your report server is located on a different server than your SharePoint server you may need to implement Kerberos in order to pass current user credentials (double-hop problem).
To confirm this is the problem, try to change the data source on the sever (it should have been automatically published when publishing the report) and set the credentials to a specific user account (your account would be fine if you have the necessary permissions).
Does it work in this configuration?
Let me know.
Regards,