Speed up SharePoint list query

Are there any tips/tricks for speeding up a query to a SharePoint list? 

The topic comes up a lot but haven't seen any conclusive or clear answers.

I'm refreshing ~20k rows from a SP list and it takes 15-20 mins. Meanwhile I have a SQL query pulling back 10x the data in 10% of the time.

When I run Query diagnostics, seems like PowerBI is making hundreds of calls to my SP list to get all the data.

What can I do to speed up this SP query?