Yes, you can use the new OpenAI Agents SDK with Azure OpenAI.
I found the following blog post from Microsoft Tech Community, and have included a relevant snippet below.
Use Azure OpenAI and APIM with the OpenAI Agents SDK
Currently, we make use of the existing Chat Completions API rather than the newly released Responses API.
# from: Use Azure OpenAI and APIM with the OpenAI Agents SDK
from openai import AsyncAzureOpenAI
from agents import set_default_openai_client
from dotenv import load_dotenv
import os
# Load environment variables
load_dotenv()
# Create OpenAI client using Azure OpenAI
openai_client = AsyncAzureOpenAI(
api_key=os.getenv("AZURE_OPENAI_API_KEY"),
api_version=os.getenv("AZURE_OPENAI_API_VERSION"),
azure_endpoint=os.getenv("AZURE_OPENAI_ENDPOINT"),
azure_deployment=os.getenv("AZURE_OPENAI_DEPLOYMENT")
)
# Set the default OpenAI client for the Agents SDK
set_default_openai_client(openai_client)