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 Relay to connect to the external database.
On-premises, you can connect to the external database without an Azure Relay.
On-premises, you can also connect without an Azure Relay and additionally use Direct SQL to export data to the external database.
You can also directly connect to an Azure SQL database.