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Msg 46530 External data sources are not supported.
 
Date created: January 23, 2020. 
Problem Description. I was trying to make all the configuration required to use Polybase external tables to query an Azure SQL Database. I had installed Polybase already and proceeded to create a master key and a database credential successfully. However, when I tried to create the External Data Source the following error came up: 
 Msg 46530, Level 16, State 11, Line 1 
 Cause. 
 Solution. 
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