If you want to use multi-factor authentication (MFA) to connect to Exchange Online PowerShell, you can't use the instructions at Connect to Exchange Online PowerShell to use remote PowerShell to connect to Exchange Online.
First, MFA requires you to install the Exchange Online Remote PowerShell Module
Then you need to use the Connect-EXOPSSession cmdlet to connect
Ok, lets see how it works…
Open the Exchange Online Remote PowerShell Module ( Microsoft Corporation > Microsoft Exchange Online Remote PowerShell Module).
Run the command, Connect-EXOPSSession –UserPrincipalName deva @ contoso. onmicrosoft. com
This throws the credentials prompt, so provide the password.
A verification code is generated, sent.
Provide the verification code in Verification window
After Step 4, the Exchange Online cmdlets are imported into your Exchange Online Remote PowerShell Module session and tracked by a progress bar.
If you don't receive any errors, you connected successfully.
Just to check that, run any of the Exchange cmdlet and see the results.
Once you’re done and want to disconnect all currently open PowerShell sessions in the current window, run the following command: Get-PSSession | Remove-PSSession