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I'm trying to install SCOM 2019 Evaluation version at my work. It required me to enter the database server name, can I install the management server and db server on the same machine?
so just enter the management server name into the DB server name field? Does it automatically install the SQL server on the same machine?
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No, you need to install and configure SQL server as per the SQL requirements: https://learn.microsoft.com/en-us/system-center/scom/plan-sqlserver-design?view=sc-om-2019#sql-server-requirements
you can also follow Kevin Holman's Quickstart guide, it describes everything you need (including SQL setup) :
https://kevinholman.com/2019/03/14/scom-2019-quickstart-deployment-guide/
Yes, you absolutely can install SQL server on the same machine