We have using two databases that is used for cross database queries.One is named azureDB1 and another is azureDB2.These databases resides on my Azure cloud SQL Server.Our scenario is to call a stored procedure that resides in azureDB2 from azureDB1.For this we have tried to create a linked server using "sp_addlinkedserver" stored procedure.But we got error message that "Could not find stored procedure 'SP_ADDLINKEDSERVER'". We need solution for create linked server in sql azure server
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This isn't a duplicate. This is asking about creating a linked server "from" Azure. The other is asking about creating a linked server "to" Azure. – David Dec 01 '17 at 16:14
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Linked server for Azure SQL Database is not supported. However you can use Elastic Query which allows you to query across SQL Databases https://azure.microsoft.com/en-us/documentation/articles/sql-database-elastic-query-overview/

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3Specifically, take a look at the sp_execute_remote stored procedure. It allows you to invoke a stored proc in a remote database in SQLDB. – Torsten Grabs May 25 '16 at 16:35