Foundry Data Connection offers two methods to connect with data sources: Agents (private networks and on-premises) and Direct Connection (public network). You can pull and ingest data from external systems such as databases, S3, FTP, and more into Foundry.

Deep Dive: Creating Your First Data Connection Module offers a step by step guide to connect S3, Relational Database, and REST API resources into Foundry. 
If you are interested in how to connect data into Foundry, this is the module that you might want to look into. 
Deep Dive: Creating Your First Data Connection Module: https://learn.palantir.com/deep-dive-data-connection/1864468
Reference : https://learn.palantir.com/deep-dive-data-connection/1864468