Tableau can connect to hundreds of data sources. With Tableau you can connect to variety of data sources stored in a spreadsheet/text file, or in database, or to a could database source like Google Analytics, Salesfore, or Amazon Redshift.

Types of Connections:

Live connection: It is the direct connection to the data and best to use when you want to get up to the second changes in data. Performance of this type connection depends on the database. If your database is not setup properly then connecting live can result in a slow experience.
Extract connection: Compressed data is stored locally and loaded into Tableau's high performance in-memory data engine in Extract connection. You should use this type of connection when you are connecting to slow database. Instead of loading full data you can bring some of the data by clicking on the Edit button.To refresh the extract data click on Refresh button present next to the Edit button.

How to connect Tableau to your data?

To connect to a data source from Tableau desktop
Step 1: Click on the connection type in the Connect Pane.

Step 2: Select the data source from the Open dialog box and then click Open.

Step 3: Tableau opens the Data Source page once you have connected to data source.