PolyBase comes with a few built-in drivers, including Oracle, Teradata, MongoDB, and SQL Server. For everything else in the 2019 “style” of things, there is a generic ODBC route. In this route, you need to obtain a valid ODBC driver, configure it, and let PolyBase know how to access data from that remote source.
Cosmos DB’s Core API just happens to have a working ODBC driver, so the first step is to grab the relevant version of that driver and install it on the machine running SQL Server.
Read on to see how it works and how you can get around some initial pain points. As a quick note, this only works with SQL Server on Windows, as SQL Server on Linux does not support generic ODBC drivers with PolyBase.