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Azure Relay and Linked Services are both used to connect cloud services with on-premises resources, but they work in different ways.
Linked Services is a feature of Azure Data Factory that allows you to create a connection between an Azure service and an external data source, such as an on-premises database. Linked Services uses a gateway to establish a secure connection between the cloud and on-premises resources. Once the connection is established, you can use Azure Data Factory to move data between the cloud and on-premises resources.
Azure Relay, on the other hand, is a service that allows you to securely expose services that run in your corporate network to the public cloud. You can do so without opening a port on your firewall, or making intrusive changes to your corporate network infrastructure. The relay service supports the following scenarios between on-premises services and applications running in the cloud or in another on-premises environment:
- Traditional one-way, request/response, and peer-to-peer communication
- Event distribution at internet-scope to enable publish/subscribe scenarios
- Bi-directional and unbuffered socket communication across network boundaries
Azure Relay differs from network-level integration technologies such as VPN. An Azure relay can be scoped to a single application endpoint on a single machine. The VPN technology is far more intrusive, as it relies on altering the network environment.
In summary, Linked Services is used to move data between the cloud and on-premises resources, while Azure Relay is used to securely expose on-premises services to the public cloud.
For more details, refer to What is Azure Relay? and Linked services in Azure Data Factory and Azure Synapse Analytics.
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