Suggestion:
Ok, this happened to me before. All i did was turn off my modem and router. Plugged the Etherent in the Router, turned on Modem and Router and i successfully connected. OR
Visit portfoward.com, it will tell you the ports needed to connect to Xbox Live.
Also, you may need to give more details on how you connect the Ethernet Cable, like Modem->Router->Xbox
Modem->Xbox

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