Unknown error: Unable to build: the file dx.jar was not loaded from the SDK folder

None of the answers helped me only my decision fixed the situation:

Fix is to copy

android-sdk/build-tools/25.0.3/lib

to the folder

android-sdk/build-tools/26.0.1/lib

Now all works great!

I had the same error today and happened to find your post. And after several attempts, I found deleting 26 rc1 Build-tools can help solve the issue.

Eclipse ADT no more support. So Google break backward compatibility with remove two classes from dx.jar.
You can easy fix it.

1. Go to your sdk folder. Navigate to dx.jar from latest build-tools.
   For example build-tools\28.0.3\lib
2. Open dx.jar in any zip archiver.
   I use WinRAR.
3. Navigate to path com\android\dx\command inside archive.
   Here you not see files DxConsole$1.class and DxConsole.class.
4. Now navigate to dx.jar for 25.0.3 or before.
5. Again navigate to com\android\dx\command inside this archive.
   Here you see files DxConsole$1.class and DxConsole.class.
6. Copy it from old dx.jar to new dx.jar. I just drop its from one WinRAR window to another.

All done. Now you can use new dx.jar with Eclipse ADT.

This solution better from replace dx.jar, because you can use new version of the dx.jar.

You need do this steps on every update build-tools.