Are you connected to on-premise SQL server? First review the Manage your data source - SQL Server documentation and that you've set it up correctly. If so, This is almost certainly a communication issues with the on-premise data gateway.
Please review the Troubleshooting the On-premises data gateway documentation, and also review the Port requirements and the Firewall and proxy documentation and insure that your proxy or firewall allows access over those ports.
Please review both hardware and software firewalls, including the Windows Firewall on the server. Finally, the Tools for troubleshooting section covers collecting logs and Fiddler tracing.
Also, insure that all of the required ports for the connector are always in use and not blocked or filtered by a proxy or firewall. If you'll notice the data gateway port requirements are far more than port 80 and 443:
*.servicebus.windows.net 5671-5672 Used for Advanced Message Queuing Protocol (AMQP).
*.servicebus.windows.net 443, 9350-9354 Used by listeners on Service Bus Relay over TCP (requires 443 for access control token acquisition).
For most firewalls, port 80 and 443 are open because they are the HTTP/S ports, however the ports listed above would not be open by default.
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