I should also add, because I just tested it, and it works.

 

An Excel workbook that is connected directly to a SQL server, and then connected to Power BI (either from OneDrive or a SharePoint library) will be able to connect to the data through the on On-Prem Data Gateway.

 

In short, it works. I think that I need to do a blog post on this one - there are a few intricacies involved.

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