I am migrating from an older version of Microsoft SQL to Azure SQL. The existing SQL Server stored procedures use OPENQUERY and a linked ADSI server to retrieve user information directly from the Active Directory.
Is this possible in Azure SQL?
Azure SQL Database only allows to query another Azure SQL Database (remote) or Azure Synapse Analytics databases using elastic queries. All other SQL and non-SQL sources are not allowed.
Azure Managed Instance uses a private VNET and supports linked servers to a limited number of targets. Supported targets: SQL Server and SQL Database. Not supported targets: Active Directory, files, Excel, Oracle, MySQL, Analysis Services, and other RDBMS.
Azure SQL Database would have no way to communicate with your on-premises servers since it does not uses private VNETs as Managed Instance does.
If you rely heavily on this you should discard all Azure SQL (PaaS) options and go for a SQL Server Azure VM.