Setting up a connection using a Virtual Network Data Gateway to an Azure SQL Database

Hi RosG ,
The behavior you’re seeing is expected with the current VNet Data Gateway. The gateway doesn’t support Azure AD / Entra (OAuth) authentication for SQL Server, which is why your Entra MFA login works fine in SSMS but not through the gateway. SSMS supports modern authentication, whereas the VNet gateway can only connect to SQL Server using a SQL username and password. Because of that, Entra MFA succeeds in SSMS, fails through the gateway, and SQL authentication is the only method that works when using the VNet gateway.

For reference, here are the Microsoft docs:

VNet Data Gateway
Use virtual network data gateway and data sources in Power BI | Microsoft Learn
Azure SQL – Entra Authentication Overview (explains why SSMS works)
https://learn.microsoft.com/en-us/azure/azure-sql/database/authentication-aad-overview

If you require Entra-based authentication, the supported alternative is to use Managed VNet / Dataflows Gen2, which do support Entra ID and Managed Identity, unlike the VNet Data Gateway.