How to create SQL Server backup from Windows Server to Linux Client with SQLCMD? I've got sqlcmd installed on an Ubuntu LTS instance and I'm able to connect successfully to Windows SQL Server and do queries and such.
sqlcmd -S 192.168.0.100 -U SA -P secret

I need to be able to create a backup of the database (preferably as a gigantic db-backup.sql).
It appears that the BACKUP command can only save a .bak file to the remote Windows SQL Server, but I want to save it locally on the Linux client that's actually running sqlcmd.
BACKUP DATABASE [MyDatabaseName]
    TO DISK = N'./MS-SQL-Server-Test-DB.bak'
    WITH NOFORMAT, NOINIT,
    NAME = N'MS-SQL-Server-Test-DB Full Database Backup', SKIP, NOREWIND, NOUNLOAD,  STATS = 10

GO

How can I backup to the local client instead of the remote server? 
(I have full sudo access on the Linux client, but only sqlcmd db backup user and SA user access to the Windows Server).
Note: It's Windows Server 2019 or something like that. It doesn't have ssh installed, and I don't think I can get it installed.
the backup is done by the sql server process in a place reachable from the server.
the options usually are:

a local path
a networkpath (like a samba or cifs share)
an cloud storage

So what you are asking can't be done in the way you want.
As alternative you can script the content:
https://docs.microsoft.com/it-it/sql/ssms/scripting/generate-scripts-sql-server-management-studio?view=sql-server-ver15
Schema and data.