SQL is the way to create and access relational databases. See here for why someone working in statistics or machine learning should know about SQL.
Website for MySQL
Website for SQLlite database
The information below is a generic introduction to using SQL to create, access and update a relational database.
Lectures on SQL from the Khan academy
Tutorial on SQL from w3schools You can use the website to try SQL commands.
One simple way to learn SQL is to use the sqlite module in python.
A tutorial to using SQL with python
It is important to be able to read data from SQLlite files directly into python. However, it is useful to be able to read SQLfiles independently
For small SQLlite files you can use this online site to read the SQLlite file.
There is a useful command line tool which can run SQL commands.