I have 4 on-premise database server that has to be connected to Sql azure server as linked server.I will be querying these on-premise server from sql Azure database server.As far as I checked online I get the answer as it is not supported in Azure. Kindly advice on the same.
Azure SQL DB is previewing Elastic Database Query feature at this point in time that will help you query from Azure SQL DB to other DBs. You can get detailed information about the feature here.