Connect R to a SQL Server database engine

Something like this should work:

library(RODBC)
dbconnection <- odbcDriverConnect("Driver=ODBC Driver 11 for SQL Server;Server=YourDBName\\SQLEXPRESS; Database=TestDB;Uid=; Pwd=; trusted_connection=yes")
initdata <- sqlQuery(dbconnection,paste("select * from MyTable;"))
odbcClose(dbconnection)

Check out these links:

RODBC odbcDriverConnect() Connection Error

https://andersspur.wordpress.com/2013/11/26/connect-r-to-sql-server-2012-and-14/

Finally, make sure SQL Server has all proper permissions applied.

You can connect to SQL Server directly from R using at least 4 libraries (RODBC, rsqlserver, RSQLServer, RJDBC).

As long as you have enough RAM, you can import your data into R and do your analysis there using for example amazing dplyr or data.table packages. On the other hand, you can just connect to SQL Server and send SQL queries to the server and do your data wrangling inside your database and then import results to R for further (statistical) analysis and visualization.