On premise nfs and smb shares

ZK400 

App Proxy is indeed only web so of no use. You can use VPN solutions. Microsoft own product Microsoft Tunnel Gateway is Microsoft's own VPN solution, you can install the Gateway (Linux server) in Azure with a site2site to on-premises or install the Gateway in the DMZ. Downside is, for now, only available on iOS and Android. See here: microsoft-tunnel-prerequisites

Other third party VPN solutions can be used ofcourse, I seen a lot like GlobalProtect, F5 etc. see more info: https://learn.microsoft.com/en-us/mem/intune/configuration/vpn-settings-configure

The new solution, now in preview, is Microsoft SSE Private Access. This solution is build around Conditional Access and has lot of functionalities, see here: https://learn.microsoft.com/en-us/entra/architecture/sse-deployment-guide-intro  The Private Access part is Microsoft's replacement of VPN solutions and it uses the App Proxy mechanism of installing connectors on-premises to offer on-premises apps, can be any type like smb, ssh etc. even UDP support is in place.  See here: https://learn.microsoft.com/en-us/entra/architecture/sse-deployment-guide-private-access and here: https://learn.microsoft.com/en-us/entra/global-secure-access/concept-private-access

You can also host your server in Azure and make them available or use other site2site solutions to get to your servers.  See here: https://learn.microsoft.com/en-us/azure/storage/files/storage-files-configure-p2s-vpn-windows?tabs=azure-portal

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