Not able to query cross database in Azure SQL

I tried to insert data into another table, in another database, but I get an error:

> Reference to database and/or server name in 'xxx.xxx.xxx' is not supported in this version of SQL Server

I'm getting the same error when trying to select from another database.

My SQL code:

INSERT INTO xxx.xxx.xxx 
VALUES (xx,'xx', 'xxxx', xx)

In Azure SQL database Cross database quires are not supported You cannot insert records from one database to another database.

You cannot use DML statements on Cross database in azure SQL.

• The only way to insert records is connect to the correct database or switch the database context if you're in SSMS/ADS/ portal Then you can execute your statements.
• Regarding the cross database quires, you need to use elastic queries like external tables and external data sources suggested by Alberto Morillo

Sample Code:

CREATE MASTER KEY ENCRYPTION BY PASSWORD = 'password';
CREATE DATABASE SCOPED CREDENTIAL samplecred2  
WITH IDENTITY = 'username',  
SECRET = 'password';
CREATE EXTERNAL DATA SOURCE RemoteReferenceData
   WITH
      (
         TYPE=RDBMS,
         LOCATION='servername.database.windows.net',
         DATABASE_NAME='db name',
         CREDENTIAL= samplecred
      );
CREATE EXTERNAL TABLE [dbo].[tableename]
   (
      Id int,
      Name varchar(20)
   )
   WITH
   (
      DATA_SOURCE = RemoteReferenceData,
	  SCHEMA_NAME = 'schemaname',  
 	  OBJECT_NAME = 'tablename' 
   );

Now you can execute quires on the external table which looks similar.

Reference -Cross-database Query in Azure SQL Database - Microsoft Community Hub