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SQL Server Foreign Keys and Indexes

This is another one of those cases that just beats it into your head to stop making assumptions.

My first delve into RDBMS's was MySQL. When you create a Foreign Key in MySQL, it will create an Index for you. Unfortunately, I assumed that SQL Server would do the same. Then about a year ago, I was researching ways to speed up some of the queries in a customer's application when I came across a thread on StackOverflow. What did I find? I was making the wrong assumption and you have to create both the Foreign Key and Index in SQL Server.