• If you need to access data on more than one database within Microsoft Azure SQL Database, you must do that at that application level. The databases are absolutely isolated from each other. The reason for this is, while you define a server for your databases, it's only a virtual construct. The actual location of the databases maybe be on any number of different physical boxes within your data center. There's no way for them to define linked servers for these, especially because they'll be constantly moving anyway as failovers occur. That's not even to mention the nature of cross-server queries and their tendency to default to scans of all data. There's just no way they can build a shared infrastructure and support such a mechanism.

    "The credit belongs to the man who is actually in the arena, whose face is marred by dust and sweat and blood"
    - Theodore Roosevelt

    Author of:
    SQL Server Execution Plans
    SQL Server Query Performance Tuning