SQL Server 2016 - sp_execute_external_script
After turning on external scripts, you'll need to restart SQL Server so that when you run

sp_configure 'external scripts enabled';


it returns a run_value of 1:

name                                minimum     maximum     config_value run_value
----------------------------------- ----------- ----------- ------------ -----------
external scripts enabled            0           1           1            1


Documentation: External Scripts Enabled server configuration option