Greg Low points out an important property which can help linked server performance:
The on-premises versions of SQL Server have the ability to connect one server to another via a mechanism called Linked Servers.
Azure-based SQL Server databases can communicate with each other by a mechanism called External Tables. I’ll write more about External Tables soon.
With Linked Servers though, I often hear people describing performance problems and yet there’s a configuration setting that commonly causes this. In Object Explorer below, you can see I have a Linked Server called PARTNER.
Read on for more.