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You can try to use this Microsoft Dataverse ODBC Driver to set up a linked server for Dataverse data. Please refer to Connect to Microsoft Dataverse Data as a Linked Server for more details.
In addition, a SQL data connection is available on the Microsoft Dataverse endpoint. The SQL connection provides read-only access to the table data of the target Dataverse environment thereby allowing you to execute SQL queries against the Dataverse data tables. You can also use SSMS 18.4 or later with the Dataverse endpoint SQL connection. Please refer to this doc for more information.
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