In the Mendix App store you can find the "Database replication" module. The module enables you to replicate the data from a MSSQL, PostgreSQL or Oracle database into your Mendix database. In order to map the tables to the tables in your Mendix database you need to download the "MxModelReflection" module from the app store as well. Please make sure you create the required entities, attributes and associations in your domain model in order to map the tables from your existing database with your new domain model in Mendix.
Documentation / How to can be found at the 2 modules in the app store.