Start with query performance and indexing. Learn how SQL Server executes queries, how to read execution plans, and how appropriate indexes can reduce scans, I/O, and CPU usage. Focus on avoiding unnecessary columns, filtering efficiently, and understanding when joins, sorts, and aggregations become expensive.
Next, understand statistics and execution plans. Statistics help the optimizer estimate how many rows a query will return, while execution plans show how SQL Server actually chooses to retrieve and process those rows. Learn to recognize common problems such as table/index scans, inaccurate cardinality estimates, expensive key lookups, implicit conversions, and poorly chosen joins.
Then learn database and server configuration, including memory allocation, tempdb configuration, file sizing and autogrowth, MAXDOP, and cost threshold for parallelism. These settings matter, but they generally should come after you understand query and indexing problems rather than being the first place you tune.
Finally, develop good monitoring and maintenance practices. Learn to identify expensive or frequently executed queries, monitor CPU, memory and I/O, maintain indexes appropriately, and keep statistics current. The most important principle is to measure first, identify the actual bottleneck, and then make a targeted change rather than tuning settings based on assumptions.
I'd recommend you start with https://learn.microsoft.com/en-us/sql/relational-databases/performance/performance-center-for-sql-server-database-engine-and-azure-sql-database?view=sql-server-ver17
This page provides links to help you locate the information that you need about performance in the SQL Server Database Engine and Azure SQL Database.
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hth
Marcin