Does wpdb add considerable overhead on queries with large result sets?

There is a significant amount of memory usage if you use the $wpdb for queries that return very large result sets. $wpdb loads the entire results from any given query into memory. So if you’re, say, selecting all the posts, then it’ll try to load the whole thing into memory immediately.

So for something like a backup plugin, direct calls to mySQL with loops for retrieving the data make more sense.

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