Yes, but you'd have to write the code to do it yourself since scrapy does not provide an item pipeline that writes to a database.
Have a read of the Item Pipeline page from the scrapy documentation which describes the process in more detail (here's a JSONWriterPipeline as an example). Basically, find some code that writes to a SQL Server database (using something like PyODBC) and you should be able to adapt that to create a custom item pipeline that outputs items directly to a SQL Server database.