Deepthi Goguri gives us an overview of Azure SQL Database’s built-in auditing functionality:
As you all know how crucial it is to Audit activity on the Server for both prod and non-prod environments, turning on the auditing in Azure SQL is pretty simple and the results we see in the audit log are similar to the logs we see on-prem. The difference is where we save the audit data in Azure.
You can enable the auditing at the Server level and at the database level just like the way we can audit SQL Server on-prem. If you would like to enable audit at the Server level in Azure, it will automatically audit all the databases under that Server. If we allow the auditing at the server level (logical Server for Azure SQL Databases) and also at the database level, we might get double the amount of collected audit data as it contains the same data twice. Always chose the Storage account if you wanted to audit the data at the Server level. If you just want to collect the audit data on one or some databases only, you can disable the logical Server level audit and enable the Auditing at the database level.
Read on for more information and to see a bit of it in action.