Today I worked in a very cool service request when our customer was not able to connect to Azure SQL Database using Azure Active Directory.
After multiple troubleshooting process followed we found that our customer has a proxy configuration in their Internet Options->Connections->Local Area Network LAN setting of their Web browser.
We found that the configuration script defined contains some restrictions to an important URL that Azure Active Directory needs to use to perform the validation of the user/password in all the methods that they have.
If you are using Azure Active Directory please, review that you have allowed the connections to this FQDN: (for more reference review this URL: https://docs.microsoft.com/en-us/azure/active-directory/hybrid/tshoot-connect-connectivity)
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