As Hive is part of the Azure HDInsight stack it would be tempting to select the HDInsight or Hadoop connector when you’re getting data. However, note HDFS in brackets beside the Azure HDInsight and Hadoop File options as this means that you’ll be connecting to the underlying data store, which can be Azure Data Lake Store or Azure Blob Storage – both of which use HDFS architectures.
But this doesn’t help when you want to access a Hive table. In order to access a Hive table you will first of all need to install the Hive ODBC driver from Microsoft. Once you’ve downloaded and installed the driver you’ll be able to make your connection to Hive using the ODBC connector in PowerBI.
Read the whole thing. Connecting to Hive is pretty easy.