@Priya Jha Thanks for using Microsoft Q&A !!
You can use Copy Data activity with REST dataset to call the API to fetch and load the data in Azure SQL Server.
For the shared API endpoint I could see that it supports anonymous authentication as well, so you need to select authentication type as anonymous while creating the source linked service as shown below -
Please refer to the below gif which creates a new table at source and fetch the data from the above API. Hope this helps.
Refer to the Copy data from and to a REST endpoint by using Azure Data Factory for additional information about using REST endpoints in Azure Data Factory.
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