Cross database joins in SQL Azure

Currently cross database joins are not supported in SQL Azure. Also you cannot change database mid query so you cannot, for example, put a USE [MyDB] in your query either. As a side note, please vote for it to be a priority feature for the SQL Azure team to develop soon.

So, since cross database joins are not supported at this time you must find a workaround. I will give you two possible solutions I would recommend and you can hopefully choose the one that is best for your application.

Combine your databases

If you have tables that are frequently used together, i.e. they are joined in queries or the rows are inserted in the same transactions, then it would be a good idea to move the similar tables into the same database. This of course eliminates the need to traverse databases. SQL Azure has very recently increased the maximum database size from 50GB to 150GB, which potentially makes this a more viable option than perhaps it once was.

Join your data in your application

Two separate queries could be run on the two separate databases and then these results could be joined within that application. Obvious downsides to this will be the potential for large DB I/O, large network transfer and large memory usage in your app. This is not something to consider if the amount of data that is likely to be returned is large (e.g. 1000+ rows) but it is fine if the data will be manageable.

Conclusion

Personally I would much rather settle for bringing all my similar tables that are likely to be used within the same queries together into one database so there is no longer a need for cross database solutions. This makes for cleaner application code and more efficient use of your resources. However, if this option is not available to you then perhaps the second option may have to be the one you choose.

Surely soon in the future the SQL Azure team will address this issue though and your cross database code can stay clean! Although in fairness cross database querying isn't even available in Entity Framework yet (but still workaround-able) either. I wonder why this is so difficult for Microsoft? Just shows you should always try and combine similar DBs in any database designs where possible.