Databricks is currently completely cloud-based. However, if you are looking to learn Databricks and don't want to incur the cost of the cloud provider, you can start by using the Databricks community edition. It is hosted on AWS but you don't incur the cost of AWS. It is a trial version where you can learn Databricks and can also set up some small jobs. You can more about it here: https://www.databricks.com/product/faq/community-edition