Melissa Coates shows how you can use Power BI to access data in Azure Data Lake Store:
What can you query from ADLS?
You can connect to the data stored in Azure Data Lake Store. What you *cannot* connect to currently is the data stored in the Catalog tables/views/stored procedures within Azure Data Lake Analytics (hopefully connectivity to the ADLA Catalog objects from tools other than U-SQL is available soon).
You’re not sending a U-SQL query here. Rather, we’re sending a web API request to an endpoint.
With an ADLS data source, you have to import the data into Power BI Desktop. There is no option for DirectQuery.
In other words, data that you’ve already prepped using U-SQL and want to display to the outside world. Click through for a demonstration as well as additional helpful information.