A limitation with Azure SQL database has been its inability to do cross-database SQL queries.  This has changed with the introduction of elastic database queries, now in preview.  However, it’s not as easy as on-prem SQL Server, where you can just use the three-part name syntax DatabaseName.SchemaName.TableName.  Instead, you have to define remote tables (tables outside your current database), which is similar to how PolyBase works for those of you familiar with PolyBase.

Here is sample code that, from within database AdventureWorksDB, selects data from table Customers in database Northwind:

--Within database AdventureWorksDB, will select data from table Customers in database Northwind
--Create database scoped master key and credentials
CREATE MASTER KEY ENCRYPTION BY PASSWORD = '<password>';
--Needs to be username and password to access SQL database
CREATE DATABASE SCOPED CREDENTIAL jscredential WITH IDENTITY = '<username>', SECRET = '<password>';
--Define external data source
CREATE EXTERNAL DATA SOURCE RemoteNorthwindDB WITH 
           (TYPE = RDBMS,
            LOCATION = '<servername>.database.windows.net',
            DATABASE_NAME = 'Northwind',  
            CREDENTIAL = jscredential 
            );
--Show created external data sources
select * from sys.external_data_sources; 
--Create external (remote) table.  The schema provided in your external table definition needs to match the schema of the tables in the remote database where the actual data is stored. 
CREATE EXTERNAL TABLE [NorthwindCustomers]( --what we want to call this table locally
[CustomerID] [nchar](5) NOT NULL,
[CompanyName] [nvarchar](40) NOT NULL,
[ContactName] [nvarchar](30) NULL,
[ContactTitle] [nvarchar](30) NULL,
[Address] [nvarchar](60) NULL,
[City] [nvarchar](15) NULL,
[Region] [nvarchar](15) NULL,
[PostalCode] [nvarchar](10) NULL,
[Country] [nvarchar](15) NULL,
[Phone] [nvarchar](24) NULL,
[Fax] [nvarchar](24) NULL
)    
WITH
(
  DATA_SOURCE = RemoteNorthwindDB,
  SCHEMA_NAME = 'dbo', --schema name of remote table
  OBJECT_NAME = 'Customers' --table name of remote table
);
--Show created external tables
select * from sys.external_tables; 
--You can now select data from this external/remote table, including joining it to local tables
select * from NorthwindCustomers
--Cleanup
DROP EXTERNAL TABLE NorthwindCustomers;
DROP EXTERNAL DATA SOURCE RemoteNorthwindDB;
DROP DATABASE SCOPED CREDENTIAL jscredential;  
DROP MASTER KEY;  

More info:

Elastic database query for cross-database queries (vertical partitioning)