If you want to connect your desktop Power BI to a SQL Server on Azure, it is a pretty simple couple of clicks. PostgreSQL takes a couple of additional options.
- On your Windows machine, click on Windows > ODBC Data Sources (32 Bit)
- Click on the Drivers tab to make sure you have the PostgreSQL ODBC Driver
- Click on the User DNS tab and Add a connection to the PostgreSQL ODBC Driver (I used the Unicode driver, but I am not sure if that is required)
- In Power BI, click on Get Data (the top of the icon, not the drop down - if you click the drop down you need to select More...)
- Search for ODBC
- You should see the Data Source Name you just created as an option. I don't think you need to specify Advanced Options, as the DNS has all of this information.
You are now ready to pull data into Power BI from your Azure-hosted PostreSQL database (and this would probably work on platforms other than Azure as well, but I have not tested them out).