You have to animate an object's translation, rotation, or scale in a 3D package, then export the object as FBX file. You can also download the provided example Unity project and go to the Chapter 01 Working with animations\Recipe 10 Importing object animation from a 3D package directory. There is a scene called Example.unity there. This object has a follow path animation created in Blender and exported to FBX file. It has a normal Animator Controller with that animation as default state (looped). You can run the game to see the object animate.