To build on @Parfait's point #1:
From Microsoft Access Developer's Guide to SQL Server by Mary Chipman and Andy Baron:
Optimizing Access Queries:
There's a common misconception that the Jet engine always retrieves all the data in linked SQL Server tables and then processes the data locally. This is not usually true. Jet is perfectly capable of sending efficient queries to SQL Server over ODBC and retrieving only the rows required. However, in some cases, Jet will in fact be forced to fetch all the data in certain tables first and then process it. You should be aware of when you are forcing Jet to do this and be sure that it is justified. The following are some general guidelines to follow when creating your Access queries:
Using expressions that can't be evaluated by the server will cause Jet to retrieve all the data required to evaluate those expressions locally. The impact of using Access-specific expressions, such as domain aggregate functions, Access financial functions, or custom VBA functions will vary depending on where in your query the expressions are used. Using such an expression in the SELECT clause will usually not cause a problem because no extra data will be returned. However, if the expression is in the WHERE clause, that criterion cannot be applied on the server, and all the data evaluated by the expression will have to be returned.
With multiple criteria, as many as possible will be processed on the server. This means that even if you use criteria that you know include functions that will need to be processed by Jet, adding other criteria that can be handled by the server will reduce the number of records that Jet has to process. Adding criteria on indexed columns is especially helpful.
Query syntax that includes an Access-specific extension to SQL, not supported by the ODBC driver, may force processing to be done on the client by Access. For example, even though SELECT TOP 5 PERCENT is now supported by SQL Server, it is not supported by the ODBC driver. If you use that syntax in an Access query, Jet will need to retrieve all the records and calculate which ones are in the top 5 percent. On the other hand, even though crosstab queries are specific to Access, Jet will translate them into simple GROUP BY queries and fetch just the required data in one trip to the server unless problematic criteria is used.
Heterogeneous joins between local and remote tables or between remote tables that are in different data sources will, of course, have to be processed by Jet after the source data is retrieved. However, if the remote join field is indexed and the table is large, Jet will often use the index to retrieve only the required rows by making multiple calls to the remote table, one fore each row required.
Jet allows you to mix data types within [typo - fix later] of UNION queries and within expressions, but SQL server doesn't. Such mixing of data types will force processing to be done locally.
Multiple outer joins in one query will be processed locally.
The most important factor is reducing the total number of records being fetched. Jet will retrieve multiple batches of records in the background until the result set is complete, so even though you may seem to get results back immediately, a continuing load is being placed on the server for large result sets.
Note: this book is quite old (published in 2000) and is in reference to Jet Engine. I imagine things might be slightly different in newer versions of Access which use ACE, although I don't have a source to back this up.