I need to load data from Splunk into SQL Server. Please let me know the steps or any Documentation on the process. Any help will be greatly appreciated. Thanks in advance.
You should look at the Splunk DB Connect app, this will do exactly what your looking for
You should try using the DB Outputs feature in the DB Connect v2 app.
If that fails try creating a script which pulls data from the Splunk REST endpoint and submits it into the database in whichever language you're most familiar with (Python will be easiest for this IMO).