@GowthamR  did you go through the documentation supplied by Databricks yet for connecting to SQL Server: https://learn.microsoft.com/en-us/azure/databricks/ingestion/lakeflow-connect/sql-server-pipeline 

Just to check, is this SQL Server on your local machine or is it remote i.e. like dev/prod or somewhere on prem. I ask because if it's on your local machine, you'll likely be encountering issues there. Your home internet won't be designed (nor should it be) to open up the firewall. 

All the best,
BS