Best apporach to pull SharePoint (O365) list data into SQL?

I have used Flow to do this in the past to keep an audit log on a SharePoint list. As you already have a data gateway setup you can create a Connector to update your on-premises server. Originally I used an on update trigger on the list but it created a lot of Flow runs so switched to a scheduled Flow and get all list items since last schedule run using a query with datetime, then a for each to write to the database. In the get list items action, change settings to do paging if there is a chance there will be more than 500 changes otherwise you will only get the last updated.