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Why would you ever want to make an HTTP request from the database?
To get data that's not in the database.
Why not use another programming language or tool to do that?
Many times that might be the preferred option, but, especially if there isn't already infrastructure in place for that, one might flip the question:
Why bother introducing new tech to do something you can do directly in SQL Server?
Here are 5 solutions for making HTTP requests directly from a SQL Server database.
This is my personal preferred option.
I've been working with SQL Server for the last 12 years and have found it to be a marvelous data platform. I love writing SQL and sharing my knowledge.