You can capture audio and video from an HD device with an SDI port. Your computer must have a supported SDI capture card, and its drivers and software installed. Similarly, you can capture HD footage from XDCAM SDI sources provided a supported XDCAM capture card is installed, along with its respective driver. Correct installation adds HD presets to the Available Presets pane of the New Sequence dialog box. It also adds HD formats to the Capture Format menu on the General tab of the Project Settings dialog box.
You typically connect the HD device to your computer by connecting its SDI ports by coaxial cable with BNC connectors. To provide device control (Windows only), you also connect the serial port on the device with an RS422 or RS-232 port on the computer. See the setup instructions provided by the capture card manufacturer.
For details about capturing tape from an AJA device and setup in Premiere Pro, see this video by Walter Biscardi.