Microsoft has just released a client-side component that creates a bridge between on-premise data and their Cloud-resident Power BI for Office 365.

The Data Management Gateway installs (DataManagementGateway.msi) on a local computer running any of the following operating systems:

Once installed and connected, on premise data sources can be registered with Power BI for Office 365 as and then used to run, manipulate and produce business analytics using the Power Query add-in for Microsoft Excel or Microsoft SharePoint Online. You can also publish and index on-premises data sources as OData feeds.

The download is available from here: Microsoft Data Management Gateway

If you're unfamiliar with Power BI for Office 365, here's some great resources to get started: