Hey folks…In this post let’s see few things which you should be aware of, to avoid any surprises when connecting to your Microsoft Azure SQL DB from your SSMS.
First thing you might notice is there are no msdb,model and tempdb databases under system databases category, No Agent and pretty much nothing what you would see on your On-Premise SQL Server.
. 
Now, let’s try opening a new query and see how database context works with Azure SQL DB. As you can see I got connected to master database which is my default database.
Nothing strange right? Let’s see what happens when I try to change my database context.
Ahaaaa….so, What if I change my database context from GUI?
Am able to change the database context for the first time. Well, but you can’t switch it back from GUI. It will be greyed out(See below).
So…Basically you have to establish a new connection to desired database as needed. In other words, you are directly connecting to your Database(literally). After all…this is Azure SQL DB, not Azure SQL Server :D
