How is SQL Server host identity ensured?

When I connect to some e-commerce website with my browser I use HTTPS that uses a certificate that (more or less) guarantees that example.com is indeed example.com. Now I connect to a SQL Server somewhere on the Internet - it might be SQL Azure for example and then I just connect to a URL like abcdef.database.windows.net. There's a chance that there's a fake server there and then I expose my sensitive data. I haven't found any evidence that certificates or anything equivalent is used when connecting to SQL Server. How is SQL Server host identity ensured?