yes you can. You use the Query XML action to pull data out of the InfoPath form XML.
Then you can use the Execute SQL action to talk to MySQL. You'll need to connect to it via an ODBC driver.
Take a look at this page for connection string ideas : MySQL connection strings - ConnectionStrings.com
I've done this with Oracle before, works a treat..
Thank you Vadim, sorry for my late reply. It works great for pulling data into a DB. I have another question, how can I use Nintex workflow to update a form field? In my workflow, I have a workflow variable contains a URL of a file (@Shared Documents) and I would like to put this variable (hyper link) data into a Rich Text field. I am really appreciate your advise.
I don't have a great example, but there are two ways.
1. if you InfoPath form has published it's controls to be fields, you can simply update the field.
2. If not, you'll be looking at updating the InfoPath Form XML, using the Update XML
Nintex Workflow - Update XML Part 2 - Updating InfoPath Forms - Vadim Tabakman
Retrieving data ...