SQL Server allows you to create a dynamic link library (DLL) in any language that produces the Common Language Runtime (CLR). These DLLs must be loaded into the server at boot time. To create a procedure at runtime and have it immediately available, the only choice is the built-in SQL dialect, Transact SQL (TSQL).
MySQL has a feature called plugins. One of the legal plugin types is a procedural language. Several languages have been tooled to work with MySQL via the plugin system, including most of the popular ones such as PHP and Python. These functions cannot be used for stored procedures or triggers, but they can be invoked from the common SQL statements. For the rest, you are stuck with the built-in SQL.
PostgreSQL has full ...