Hi Santosh G,
Yes you can connect the MYSQL Server from your local machine to Data Services Server.
Create a User with all the privileges to the required database(Local Machine).
First you need to install ODBC Drivers of MYSQL in Data Services Server machine Based on your MYSQL Database Architecture(32bit/64bit).
(Data Services Server)
Create a ODBC Connection(Data Services Server).
You can directly create a Datastore Using ODBC Connection. 
Hope this will helps you.
Regards,
Akhilesh Kiran.