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I'm not aware of any services that load it directly into a database for you. There is the MLB-StatsAPI python wrapper which makes the API calls a bit more straightforward. Using something like that to retrieve the data is probably one of the easiest ways to pull the data you want. You can then write it to a csv, database table, ect with a pretty simple script. There's tons of documentation online of how to do this. You could do this in Python or whatever language you prefer.