There are multiple ways to read data into Sagemaker. To make the response more comprehensive i am adding details to read the data into Sagemaker Studio Notebook in memory as well as S3 mounting options.
Though Notebooks are not recommend for data intensive modeling and are more used for prototyping based on my experience, there are multiple ways the data can be read into it.
In Memory Based Options
Both Boto3 and S3FS can also be used in conjunction with python libraries like Pandas to read the data in memory as well as can also be used to
copy the data to local instance EFS.
Mount Options
These two options provide a mount like behaviour where the data appears to be in as if the local directory for higher IO operations. Both of these options have their pros and cons.