Hi @Shri-6058 ,
You could create an External List by using Business Connectivity Services (BCS) and Secure Store to access data from a Microsoft SQL Azure database. BCS connects SharePoint solutions to external data, and Secure Store enables user authentication for the data.
1.Create a Business Connectivity Service
SharePoint admin center > Active sites page > More features > BCS > Manage connections to online services
2.Create a Secure Store Service ID
SharePoint admin center > Active sites page > More features > Secure store > New
3.Create the External Content Type
SharePoint designer 2013 > External Content Type > Add Connection
4.Adding external list
You could get more details from the following link. It is a article describes how to configure the SharePoint Online Integration with Azure SQL Server step by step. Hope it will help you. Office 365 SharePoint Online BCS with Azure SQL Server Database
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