Splunk's DB Connect enables you to use scheduled input to query traditional relational databases and retrieve and store that data in indexes to be combined with other data sources in Splunk searches to provide a more comprehensive view of, and insights into, all the data across the Enterprise. You can also configure Splunk searches from other sources and use an output from DB Connect to store the tabled results in your database tables or perform lookups from database tables to add to and enrich search results from other sources. Finally, you can perform ad-hoc queries to add database records to search results.
This app is available for free on Splunkbase, and is a very common addition to most Splunk Enterprise environments, so I'll cover it in a bit more detail.