If you are unable to establish an S2S VPN connection or an ExpressRoute connection from your on-premises environment to Azure and need to access your on-premises File Server on Azure WVD, you can use Azure File Sync to assist you in this demand.
Azure File Sync enables seamless access for files that were initially generated in Azure or on-premises. Windows Virtual Desktop session hosts can access the files from a nearby location stored in Azure. You can also map drives using SMB 3.0 protocols, so users don’t experience changes in their workflow.
In the article below you can see the details of how to deploy Azure File Sync on your on-premises File Server.
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Regards,
Kllin Nunes