A VM is unable to connect to a SQL Database in a different virtual network. What should you check first?

Correct answer: All of the above

Option A is correct because all three areas, NSG rules on the VM subnet, virtual network peering or gateway connectivity, and SQL Database firewall rules, must be checked to diagnose cross-virtual-network connectivity failures, making 'all of the above' the most complete and appropriate first-step answer. Option B is incorrect by itself because while NSG rules are a common culprit, overlooking missing VNet peering or SQL firewall rules would leave the root cause unresolved. Option C is incorrect by itself because even with correct peering, an NSG blocking the port or a SQL firewall rule denying the IP would still prevent connectivity. Option D is incorrect by itself because Azure SQL Database firewall rules alone do not explain failures caused by missing VNet peering or NSG blocks.