Query store can be enabled on Azure SQL Database to analyze any performance issues with SQL Server.
Example: Below image indicates one of the SQL statement was executed about 57,000 times along with Query plan to understand what is consuming maximum CPU. This query alone using at least 60% of the CUP during the given time.
Query store on a database can be enabled using below SQL Query;
ALTER DATABASE databasename SET QUERY_STORE =ON; --
I frequently use Regressed and Top Resource Consuming queries to analyze high DTU consumption analysis.
NOTE: Azure Portal can also be used to identify index recommendations to improve performance but Query store can be used for detailed analysis.