Hey @tumon,
You need to create an IAM Role for sagemaker with permission to access all required resources. You can find instructions on how to do this here: SageMaker Roles - Amazon SageMaker 10

To create a new role

Open the IAM console at https://console.aws.amazon.com/iam/ 15.
Select Roles and then select Create role .
Select SageMaker .
Select Next: Permissions .
The IAM managed policy, AmazonSageMakerFullAccess is automatically attached to this role. To see the permissions included in this policy, select the sideways arrow next to the policy name. Select Next: Tags .
(Optional) Add tags and select Next: Review .
Give the role a name in the text field under Role name and select Create role .
On the Roles section of the IAM console, select the role you just created. If needed, use the text box to search for the role using the role name you entered in step 7.
On the role summary page, make note of the ARN.