You can use the Database Connector module: this connector provides microflow actions to execute sql queries on any database which supports jdbc connectivity. More info can be found here: How Does Mendix Support Direct Access to an External SQL Database and Execute an SQL Statement on an External Database
Mendix supports most of the major database types. These do need to be empty before you run on it though, as Mendix creates and maintains its own database.
If you want to integrate with an existing external database, you can use the Database Replication module to map this data to your Mendix application.
The database connector seems to support connection to any database you can create an ODBC connection to https://github.com/mendix/database-connector