The Data Management Gateway from Microsoft allows secure direct connections to your on premise SQL Server or Oracle database instances from Power BI in SharePoint Online – no more need for scheduled data refresh to reload the in memory database.
Microsoft has also introduced Power BI Analysis Services connector to allow direct connections to tabular SSAS cubes on premise from Power BI. Now you can build reports and perform analysis on-line with a secure connection to your existing assets. The connection uses the credentials of the user logged into SharePoint on-line so your cube security works just the same as it does on your local network.
Now you can create dashboards and analyses in Power BI that are directly connected to your on premise assets. There is no need to move these assets off premise and you can extend the assets you have while leveraging all of the capabilities of Power BI including the natural language Q&A feature that creates reports dynamically while you type your question.