Explanation

Step 1: Create a virtual private network (VPN) connection from on-premises to Microsoft Azure.
You can also use IPSec VPN or Azure ExpressRoute to further secure the communication channel between your on-premises network and Azure.
Azure Virtual Network is a logical representation of your network in the cloud. You can connect an on-premises network to your virtual network by setting up IPSec VPN (site-to-site) or ExpressRoute (private peering).
Step 2: Create an Azure Data Factory resource.
Step 3: Configure a self-hosted integration runtime.
You create a self-hosted integration runtime and associate it with an on-premises machine with the SQL Server database. The self-hosted integration runtime is the component that copies data from the SQL Server database on your machine to Azure Blob storage.
Note: A self-hosted integration runtime can run copy activities between a cloud data store and a data store in a private network, and it can dispatch transform activities against compute resources in an on-premises network or an Azure virtual network. The installation of a self-hosted integration runtime needs on an on-premises machine or a virtual machine (VM) inside a private network.
References:
https://docs.microsoft.com/en-us/azure/data-factory/tutorial-hybrid-copy-powershell