Is it possible to embed codesandbox preview in Stack Overflow?
I have tried iframe, embed URL and links but none of it works.
Stack Exchange does have such a capability (at least, not one that is documented). You could, however, just share a link, or, for some use-cases use the built-in code snipptets.
Allowing us to embed anything using iframe or embed tags is a huge security risk, as anyone will be able to embed any bad site they want. Very bad idea.
Stack Exchange does support several "onebox" options, e.g. YouTube links on some sites become an embedded video, however no such thing for code snippets.
In addition to the tips in this other answer, you can also use jsfiddle which is very popular, if you don't like using the built in stack snippet option, and share link to the fiddle.