Are these tools still valid? I was watching a 7 years old webinar done by Brent Ozar (https://youtu.be/U_Kle3gKaHc), and heard of several items being recommended at that time. 


SQLDiag utility.
SQLNexus.
PAL tool.
Database Tuning Advisor/wizard.
BPA (Best Practices Analyzer).
SQL Server Policy Based Management.


Are all of them still to be used/considered or there is something newer that replaced them?
Brent here - the guy in the hairy chest wig in the video.

Much like that hairy chest wig, I don't use those tools much anymore. The video is still up just for comic relief sake.

Over time, I wanted better tools, so with the help of my coworkers, I built 'em and open sourced 'em. Here's the Github repo for the First Responder Kit, which contains:


sp_Blitz - health check, replaces the BPA for my needs
sp_BlitzFirst - performance check, replaces Diag/Nexus for most of my needs, especially with the @SinceStartup = 1 parameter
sp_BlitzCache - performance check that focuses on queries
sp_BlitzIndex - index design check that replaces the DTA for me