Application and Database Server able to connect each other from Client when Windows Firewall ON

Enable local group policy and create the rule to all the ports.

Go to the particular server (i.e.: your server Name) you want to enable the windows firewall

Go to Start menu and choose Run then type gpedit.msc and Click OK

You can able to see the below screen and Click Windows setting

Click Security Settings and Expand Windows Firewall with Advance Security

Inbound - Rule Creation

Select inbound Rules and right click Choose New Rules

In the New Inbound Rule Wizard, Select Rule Types and Choose Port and click Next

Choose TCP and All local ports (Note, you can able to specify the individual parts also) the Click Next

Choose Allow the connections and Click Next

Select all the profile (Note you can able to specify the individual profile also) and Click Next

Enter the name of the inbound Port rule and Click Finish

Make sure you can able to view the new Inbound rule like below

Outbound – Rule Creation

Select Outbound Rules and right click Choose New Rules

In the New Outbound Rule Wizard, Select Rule Types and Choose Port and click Next

Choose TCP and All local ports (Note, you can able to specify the individual parts

Choose Allow the connections and Click Next

Select all the profile (Note you can able to specify the individual profile also) and Click Next

Enter the name of the Outbound Port rule and Click Finish

Make sure you can able to view the new Outbound rule like below

After we configured the rules for Inbound and Outbound. Check the application server and application can able to 

connect to the Database server when the windows firewall is ON.