Yes, you can use various ETL tools like,Boomi, informatica, Talend open studio to migrate data from SQL server to salesforce,( Talend will be a great choice as it is free and quite easy to understand with tons of example and tutorial available ).
Avishek to be clear this will allow you to write an application within Salesforce using Lightening or Apex and access a SQL Server database. I'm not interested in importing data into Salesforce but to work on live SQL Server data from an Application within Salesforce
You can refer to https://www.easysoft.com/support/kb/kb01050.html which will give you idea how to get started.
Regards,
Avishek
Avishek to be clear this will allow you to write an application within Salesforce using Lightening or Apex and access a SQL Server database.
I'm not interested in importing data into Salesforce but to work on live SQL Server data from an Application within Salesforce