Which database do you want to get data from? Can you share some screenshots to clarify "When I press "Get Data"and select the right link to connect it with my database, I cannot see the relationships between the datasets. It appears as one main table, which is not true."?
Are you doing this through your Power BI Desktop? If not, i'd firstly suggest trying that.
The next thing is about queries themselves. Each query is essentually 1 table. So when you pick your database as your source line, the very next line should be to select which table you want to bring into your query. Each of your next steps should be the transformations you want to make on this table each time.
If you wish to bring in many tables, you need many queries.
To relate them, after using the 'Close and Apply' option in the query editor, you'll be able to move to the table relationships screen and update any relationships that haven't been automatically detected by Power BI.
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