Under Data Management -> Export Projects there is an option to add entities to export. When you add those you get an option to export across all companies. From what I've gathered the only way to pull data from the production environment is BYOD in Azure.
Thing is, the default entities might not provide data from all the underlying AX-tables that you need because the function like views, even if Microsoft claims there are thousands of entitites to choose from.
Transaction information and such might require you to build your own entities, publish them in your asset store in LCS, push them to a sandbox and then schedule them to install in the production environment.
Building the entities is not too difficult, but the the process as a whole is a hurdle and I wish we would get simple read-only access to the production database.
There are a few other companies out there that promise easy integration solutions with D365 Finance.
