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Right click your source in the data pane, select View Data. Select the data you want or press CTRL + A on windows to select all, then click 'Copy'.
If you're just looking for the data in the context of the active worksheet click Worksheet > Copy > Data or Worksheet > Export > Data
This worked fine for a small table, but copying millions of records in the cache of my computer isn't very efficient. Is there a way to download large tables, preferably programmatically?
Personally I would use a tool which is designed for this type of thing like Microsoft SQL Server Management Studio.
It doesn't seem efficient to me at all to use Tableau as a middle layer between your SQL Server and a CSV export. With that being said, maybe you could look into utilizing tabcmd Exporting a CSV of Underlying Data Using Tabcmd Export or Get | Tableau Software