Hi @kkonstantin ,
SSRS supports SQL authentication and windows authentication, but not AAD authentication; Azure SQL Database supports SQL authentication and AAD authentication, but not Windows authentication (integrated security). If you attempt to connect to SQL Database using Windows Authentication an error occurs. For more information, please refer to: Azure SQL Connection Type (SSRS).
Therefore, when you select Azure SQL Database as the data source in SSRS, you can choose SQL authentication. Please refer to the link attached by @Martin Dimovski for detailed steps to add Azure SQL Database as data source.
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Thanks for your feedback.