Not really. Some databases support record streaming. When an index can be used or a full table scan is done, records can be given on demand:

my $sth = $dbh->prepare ("select * from big_table order by key");
$sth->execute; # Will find the execution plan
while (my $row = $sth->fetch) { # first row returned immediate
    # do something
    }
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Some databases however will build up a complete result set (of all records) before returning the first.