There are three parts of Azure Data Lake such as Azure Data Lake Store, Azure Data Lake Analytics, and Azure HDInsight.
Azure Data Lake Storage can store petabytes of different forms of data (structured, semi-structured, and unstructured data) from various sources such as social networks, web applications, mobile, and desktop services.
Azure Data Analytics is a service by Microsoft that can process and analyze even the large datasets. Azure Data Analytics can process structured and unstructured data. It uses massively parallel programs to process and analyze big data.
Azure HDInsight is a service by Microsft to process a large amount of historical data easily with less cost. Azure HDInsight can run open-source frameworks such as Apache Hadoop, Spark, and Kafka
If you are interested in Azure Data Lake, I recommend this Azure Data Factory training by Intellipaat.
You can watch this video on Azure Data Lake to know about the parts of Azure Data Lake in detail: