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In the Knowledge tab, click + Knowledge.
Click Advanced.
Select Azure Databricks as the knowledge source.
Input the catalog name your data is in.
Click Connect.
Select the tables you want your agent to use as a knowledge source and click Add.
Check these articles for more information:
Introducing the Azure Databricks Power Platform Connector: Real-Time and Governed Data Access for Power Apps, Power Automate, and Copilot Studio | Databricks Blog
Connect to Azure Databricks from Microsoft Power Platform - Azure Databricks | Microsoft Learn
Good Luck!