Now you need to install ODBC Driver for CosmosDB on the computer where you have SQL Server installed. I’m using Microsoft Azure Cosmos DB ODBC 64-bit.msi for 64-bit Windows – 64-bit versions of Windows 8.1 or later, Windows 8, Windows 7, Windows Server 2012 R2, Windows Server 2012, and Windows Server 2008 R2.
Once you install this driver, you should setup ODBC source in system DSN and test the connection:
If you’re running SQL Server 2019, you can follow Jovan’s first two steps and then create an external data source and table with PolyBase to get to the same results.