Microsoft SQL Compact Edition Connections - majorsilence/Reporting GitHub Wiki
How to connect to MS SQL Server in the "New Report from Database" wizard, on the Connection tab.
Using the new connection wizard. In the designer click the new report wizard. When you get to the connection tab for the connection type select "SQLce". Enter the connection string you need and click "Test Connection". Once the connection is working you can use continue creating your report.
Simple Connection String
Data Source=C:\ThePathToYour\Database.sdf;Persist Security Info=False;

Note that this requires the SQLce data provider exists in the RdlEngineConfig.xml file.