Help improving my "read_excel" execution time in python. My code reads slowly
Well yes it would be slow because you are opening and closing the file for every iteration of the for loop. A general rule in programming is that if the file is not constantly changing, then only open and read it a single time. Also, there are large sections of your code that can be shaved off if you simply use list comprehension

Here, I have rewritten your code to only open the file and read it once, then it creates the two lists using list comprehension and slicing.

from pandas import read_excel

# excel relevant info
my_sheet = 'Junaid'
file_name = '../Documents/Junaid1.xlsx'

df = read_excel(file_name, sheet_name = my_sheet, index_col=0, header=None)

training_input = [df.index[i:i+5].tolist() for i in range(len(df)-5)]
training_output = [df.index[i].tolist() for i in range(5, len(df))]


Also, there seems to be a bug in your code since the excel file you described in your question does not have a header (i.e. the very first row contains data), thus your code skips the very first row of values. To fix that you should pass the parameter "header=None" to the pandas function to tell it that there is no header index. You can read more about that here.