True ETL Tools
If you need more than just to copy data from Mailchimp to SQL Azure, you may use Skyvia's powerful ETL functionality for Mailchimp and SQL Azure integration. Skyvia's Import tool will correctly extract Mailchimp data, transform it, and load to SQL Azure when SQL Azure tables have different structure than Mailchimp objects. Moreover, Skyvia Import allows loading data in any direction, supporting Reverse ETL scenario.
For more complex cases, you can use Data Flow and Control Flow tools. They are designer-based solutions for creating complex data pipelines, involving not only Mailchimp and SQL Azure connectors, but any number of connectors in one integration. With these tools you can automate data workflows, involving custom logic, complex multistage transformations, combine data from different sources, load them into multiple destinations at once and many more.