Migrating Content from Drupal 8/9 to Drupal 9 - Files
content_entity
plugin only works if migrating site within an existing Drupal 8/9 site. If you need to use an external database from a D8/D9 site, you'll need the https://www.drupal.org/project/migrate_drupal_d8 module
Here's an example of migrating files (prior to migrating media items)