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Powerquery is the good answer, but there is a bit of a learning curve. If it's going to be a regular occurrence then this is the route I would take.
Free RDB Merge add-in will just paste everything together into one workbook
https://macexcel.com/examples/addins/rdbmerge/
You'll need to remove the headers in the middle of your data (just filter and delete) and obviously you'll run into trouble if the combined data is more than a million lines.EDIT: Just noticed that is the Mac add-in and he has taken the Windows site down. I've no wonder if Mac add-ins work in Windows (and I assume you're using Windows) but if you need the Windows add-in drop me a PM and I'll send it over.
That feeling when you get emailed 40 workbooks of data from the same database to analyse, because someone else somewhere asked for things to be broken down across 10 locations and 4 financial years at the wrong point in the process.
Is there a quick option to combine these into one worksheet? I'm assuming I should save them all into one directory then cast a spell to import & combine everything or something?