I'm wondering if it's possible to connect Marketing Cloud to a Salesforce sandbox environment with the Journey Builder API
Thanks in advance!
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It is absolutely possible to connect Marketing Cloud's Journey Builder API to a Sandbox. Essentially, you're just treating the Sandbox as a 3rd party system.
I'm assuming you have MC Connector configured and integrated this with the Production environment. This will allow you to create SF Entry Events, SF Object Activity etc.
For the Sandbox, none of these activities will be available... You can create an API Entry Event in Journey Builder. In order to do that, you need to go via the API as you suggest, which means creating API Access Credentials (via Installed Packages in Marketing Cloud).
So while you can connect it, please do not use this as a way to "test" SF Entry Events. SF Entry Events are executed via "Process Builder" whereas your Sandbox API test would execute via APEX Code, which, in the order of execution might yield very different outcomes.