In the past there was the possibility to make use of the SharePoint list adapter for SSIS via Codeplex (now it is hosted by github) to export SharePoint Lists to an MSSQL database. As far as I remember this is not available for newer versions and the adapter is deprecated. How is the export managed now? Also how it is done in case of O365 (SharePoint Online) and an Azure SQL Database? Or is the approach the same?
You simply create a SSIS connection of Type OData (Connection Manager for OData) and configure the preferences of the connection. Connection string has to refer to Service Document Location url.