Is it possible to use two or more data connections in Visual Studio and use them in a single query, like we can do in SQL server management Studio (while we use MySQL and MSSQL at the same time)?
E.g.
SELECT * INTO testMySQL.dbo.shoutbox
FROM openquery(MYSQL, 'SELECT * FROM tigerdb.shoutbox')
If your using Microsoft SQL Server and MySQL, then you can use Microsoft SQL Server Linked Server to accomplish this. A Linked Server is a server linked via OLEDB. This linked server will allow you to connect to the MySQL database from SQL Server and run remote queries.
Example
SELECT * from MyLinkedServer.[Database].[Schema].TableName T1
INNER JOIN MYSQLSERVER.DATABASE.DBO.TABLENAME T2 ON T1.PK = T2.PK
OR
SELECT * FROM OPENQUERY([NameOfLinkedSERVER], 'SELECT * FROM TABLENAME') T1
INNER JOIN MYSQLSERVER.DATABASE.DBO.TABLENAME T2 ON T1.PK = T2.PK