You may want your Azure Mobile App to connect to a SQL database hosted on Azure. To do this, you need to create the connectivity of the database and may need to create a database server too, if it is not already created.

On the service overview page, click on Quickstart and then select the project template that you want to integrate with. You can select Windows, iOS, Android, Xamarin, or Cordova from this screen:

Assuming that you don't have any SQL database available on Azure, you will see the following screen. Click on the message to start creating your SQL database and then connect it with your Mobile App Service: