
Step 1: a database scoped credential
To access your Data Lake Storage account, you will need to create a Database Master Key to encrypt your credential secret used in the next step. You then create a database scoped credential.
Step 2: an external data source
Create the external data source. Use the CREATE EXTERNAL DATA SOURCE command to store the location of the data. Provide the credential created in the previous step.
Step 3: an external file format
Configure data format: To import the data from Data Lake Storage, you need to specify the External File Format. This object defines how the files are written in Data Lake Storage.
References:
https://docs.microsoft.com/en-us/azure/sql-data-warehouse/sql-data-warehouse-load-from-azure-data-lake-store