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If I am connected to a particular server in SQL Server, and I use a query referencing a table in another server, does this slow down the query and if so how much (e.g. if I am joining a lot to tables in the server I currently am in)? I ask because I want to know if it is ever more efficient to import that table to the server I am in than to cross server query.
I would say it depends. Yeah, probably not the answer you wanted, but it depends on the situation. Using linked servers does come with a cost, especially depending on the number of rows you’re trying to return and the types of queries you’re trying to run. You should be able to view your execution plan on your queries and see how much is being used to hit the linked server tables. That along with the time it takes to return the results would probably help determine if it’s needed.
In regards to bringing the tables locally, then that depends as well. Do you need up-to-date data or is the data static? If static, then importing the table would not be a bad idea. If that data constantly changes and you need the changes, then this might not be the best solution. You could always look into creating SSIS packages to do this on a nightly basis, but again, it just depends.
Good luck.