Connectors define the services and data sources that the Power Platform tools can access. There are connectors for Office 365 services, such as email and SharePoint, Azure services, such as Azure SQL, as well as many non-Microsoft sources. Popular connectors are Twitter, SendGrid, Dropbox, and Mailchimp.
Each connector defines its set of triggers and actions; triggers are used with Power Automate to initiate a flow, and actions perform operations such as the reading and writing of data. You can connect to on-premises data sources using the on-premises data gateway. You can build your own custom connectors for situations where there isn't an existing connector.
CDS has a connector. Although the Power Platform tools work with many Microsoft products and services, they are particularly suited to work with CDS.