You can set up an SSH tunnel then access it as if it were local. Find step by step tutorial to do it yourself.

For those who use MySQL Workbench or other MySQL managers.

By default cPanel hosts are configured to not allow the access to MySQL server remotely because is explicitely insecure.

Rather than exposing port 3306 to the world that's better and much more secure to connect via SSH tunnel.

When you create your connection in MySQL Workbench choose the connection method: Standard TCP/IP over SSH 

Connection config (here is the MySQL Workbench example):

SSH Hostname: <your_vps_ip_address>:22

SSH Username: root (or other)

SSH Password: <correct_password_for_that_user>

If you do not use key based AUTH for SSH, bypass SSH Key File option.

MySQL Hostname: localhost (or 127.0.0.1)

MySQL Server port: 3306

Username: root

Password: <mysql_root_password> \\ attention, this password might differ from SSH root password