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With SageMaker you can read directly data from Amazon S3, Amazon EFS or Amazon FSx for Lustre. You could import the data from sql to S3 or try aws-data-wrangler which allows easy intergration with PostgreSQL, MySQL, SQLServer etc (https://docs.aws.amazon.com/sagemaker/latest/dg/data-wrangler-import.html) . If you wand to directly access from notebooks then you just install python packages and read using the python modules. For SQL server something like the below article should work - https://docs.devart.com/odbc/sqlserver/python.htm
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