While working with a customer recently I ran into a few roadblocks while connecting from an Azure Analytics Service instance to a SQL Managed Instance.

AAS cannot directly connect to SQL MI

Currently, AAS models cannot connect directly to SQL MI because SQL MI is in a VNET. You will need to install the On-premises Data Gateway in an Azure VM to access your databases. The part that directly tripped me up was you have to select the region the Data Gateway is registered to. Make sure it is in the same region your AAS instance is running.

There is a setting to force AAS to use the gateway (which is needed)

Based on this article, you need to enable the “AlwaysUseGateway” setting. This forces AAS to access your Azure IP based system via Gateway instead of attempting to directly connect.

SQL MI Public Endpoint currently does not work

AAS currently does not consider the SQL MI Public Endpoint an Azure-based service and will complain you need the data gateway even though it is directly accessible. This is why we had to perform the steps before as we are not able to access the databases directly.

I hope this helps someone out that ran into the same headaches I did!