Assuming that these databases are not visible from the same datasource, you have to use a mediation software to query on them, such as http://www.unityjdbc.com/doc/multiple/multiplequery.php.
It's not a trivial problem, since your "SQL" will have to deal with each datasource availability and transaction.
Some DB vendors provide some sort of dblinks (e.g. http://docs.oracle.com/cd/B19306_01/server.102/b14200/statements_5005.htm) that help you a little to deal with heterogeneous DBs.
So it would be nice if you narrow your question to what DBMSs you are interested.