You can compare your databricks data with on-prem sql server data in two ways:

Firstly, you have to make connection between sql-server and databricks using volumes.  Using volumes we can mount sql server data into databricks unity catalog

1.we can compare the data we have in databricks and sql-server data(volume data) in databricks itself.

2. writing databricks data into volume(in sql-server) and then comparing the data in sql-server.

Either way make the best practice to use volumes instead of jdbc/odbc or dbfs mount(deprecated) and manually exporting tables, which are not recommended.

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Regards,

Avinash N