The external data connection functionality is too fresh to have substantial documentation yet.  Its on our list, but we don’t have anything yet.  But basic steps: 

1. Ensure that the database has REST API endpoints established (that conform to REST best practices) or an OData connector.  This is work that won’t happen in Skuid. 
2. Identify and implement your authentication mechanism. 
3. Create a model service and set up authenticastion in the Skuid “Connect” tab.  
4. Create a model that calls your rest service. 

Honestly the tough part is in Step 1 and 2.  And those pieces are not going to have anything to do with Skuid or Salesforce. 

To expose MySQL databases as OData:

The simplest way, if you don’t want to setup an OData connector yourself, would be to use a cloud-based solution such as Progress DataDirect Cloud, see this article for an example. (The article describes connecting using Lightning Connect, but there’s no need for that, it will work with just Skuid)

http://westbrook.co.uk/odata-lightning-connect-real-time-erp-data-in-salesforce/

Here is an example of using Java EE to expose a MySQL database as OData:

http://stackoverflow.com/questions/16990252/how-to-expose-a-mysql-database-as-odata

And here are two projects that use PHP to expose MySQL databases as OData:

http://sourceforge.net/projects/mysqlodata/
https://odatamysqlphpconnect.codeplex.com/

Amazon REST APIs for Amazon Relational Database Services, including MySQL:

http://docs.aws.amazon.com/AmazonRDS/latest/UserGuide/RESTReference.html

I set-up an Odata connection between a SQL database hosted with Azure and Skuid last night using Progress DataDirect Cloud product…and create a few cool skuid BI pages…easy to do. 

I also found a few products from CData (http://www.cdata.com/cloud/) they provide “Cloud Drivers” that allow you to create OData connections…

One more service to expose MySQL database via Odata REST API - Skyvia Connect.

DataDirect Cloud supports MySQL running on AWS https://www.progress.com/odata/mysql and https://www.progress.com/odata/mysql-community-edition have more information on this.

If you would like to understand these solutions in general, please visit: https://www.progress.com/cloud-and-hybrid-data-integration