Please read the steps provided on this article.
WITH IDENTITY = 'Managed Identity'
USE [master]
GO
-- Create the lake house logic database
IF db_id('nyctaxidwdelta') IS NULL
EXEC('CREATE DATABASE nyctaxidwdelta COLLATE Latin1_General_100_BIN2_UTF8')
GO
USE [nyctaxidwdelta]
GO
-- Create a master key
CREATE MASTER KEY ENCRYPTION BY PASSWORD = 'blabla!'
GO
-- Create database scoped credential that use Synapse Managed Identity
CREATE DATABASE SCOPED CREDENTIAL WorkspaceIdentity
WITH IDENTITY = 'Managed Identity'
GO
-- Create external data source
IF NOT EXISTS (SELECT * FROM sys.external_data_sources WHERE name = 'eds_nyctaxi')
CREATE EXTERNAL DATA SOURCE [eds_nyctaxi]
WITH (
LOCATION = 'https://mystorage.dfs.core.windows.net/lakedata/',
CREDENTIAL = WorkspaceIdentity
)
GO