We attempted to do this with an Office 365 site (which is essentially SharePoint) and we ran into a few problems.
The main problem was that the document links were constantly forcing the teachers and students to login to Office 365. It could very well be that we just didn't have enough knowledge on how to properly setup the site, but that was the problem we kept running into. When we made things "public" (so that people didn't have to login) then anyone could search and find files in SharePoint even if they weren't a member of the Canvas site because we made it public on the SharePoint side.
The only integration I'm aware of is the OneDrive for Business LTI which allows students to submit files that are stored in OneDrive.
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