There are several possible scenarios.
- Establish a TCP / IP connection directly from the MCU to MySQL and execute SQL commands directly. This will cost a lot of flash memory and Ram.
- Connect the MCU serially or via USB to a service in python, for example, that will receive the data and execute the SQL commands to insert the data. Fast and inexpensive solution.
- Use some macro directly in some database that supports this that accepts data in JSON or XML format and connect the MCU via TCP / IP directly to this 'service'. This avoids having to program a drive for the DB.
In all cases you will have to learn how to use SQL or some Wrapper.