'Adding linked SQL Server but stored procedure sp_addlinkedserver missing

I have two Azure instances of SQL Server. Trying to link them together so that I can combine both databases in queries.

All instructions I read uses the stored procedure sp_addlinkedserver however I don't seem to have this procedure on either server:

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Is this a procedure that I should have to add myself? If so how do I go about doing this? Or am I looking in the wrong place?

My goal is to use a table in both servers in a single query.



Solution 1:[1]

Thank you SMor and Tom Knevitt posting your discussion as answer to help other community members.

As per doc

Linked Servers (Database Engine) are not enabled in Azure SQL Database singleton and elastic pools.

Sources

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Source: Stack Overflow

Solution Source
Solution 1 MadhurajVadde-MT