Set up a connector of type Database. Use this type to directly connect to an external database. This external database can be an on-premises database or a cloud database.
If you want to connect to an external database via ODBC and you run D365 F&SCM:
In the cloud, use an Azure Service Bus to connect to the external database.
On-premises, you can connect to the external database without an Azure Service Bus.
On-premises, you can also connect without an Azure Service Bus and additionally use Direct SQL to export data to the external database.
You can also directly connect to an Azure SQL database.