There are a few ways to connect your Shopify database, depending on your needs.
If you just need to view your Shopify data, you can use the built-in Shopify Reports feature. This will allow you to see things like your sales data, product data, and more.
If you need to connect your Shopify data to another database (such as a custom CRM or accounting system), you can use the Shopify API. This will allow you to grab data from your Shopify store and then send it to another database.
You can also use a third-party Shopify app to connect your database. There are a few different apps that can do this, so you'll need to find one that fits your needs.
Finally, if you're a developer, you can always connect to your Shopify data directly through your database. This requires a bit more technical knowledge, but it's a good option if you need more control over your data.