Foreign keys are a data integrity feature of relational (and SQL) databases. A foreign key is a set of attributes in a relational table that is subject to a referential integrity constraint. The referential integrity constraint mandates that the values of the foreign key attributes in one table, A, must match with corresponding values in some specified table B (which may sometimes be the same table as A).

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SQL Server has NEVER put an index on a foreign key column… Indexes are used to make the lookup (in a primary or unique key) for a duplicate value FAST.