Hi
Currently, enterprise gateway connection to on-premises SQL Server database is not supported with Power BI embedded. Regarding to this issue, you can vote it in this existing idea: https://ideas.powerbi.com/forums/265200-power-bi-ideas/suggestions/13439685-support-other-data-sources-direct-query-using-gate .
In your scenario, as a workaround, you can migrate data from on-premises SQL Server database to Azure SQL database, then work with Power BI embedded.
There is also a similar thread for your reference.
https://community.powerbi.com/t5/Developer/PowerBI-Embedded-problem-with-Enterprise-Gateway/td-p/37203
Thanks,
Lydia Zhang
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Re: Does Embedded Power BI support Enterprise Gateway connection to On-Prem SQL database.?
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