Welcome to the Microsoft Q&A Platform. Thank you for reaching out & I hope you are doing well.
I understand that you would like to know about the Authentication methods available.
Azure Application Gateway is designed to be a Layer 7 Reverse Proxy.
As you noted, this resource is not designed for authentication out of the box.
So, "authentications to happen at the gateway level" is not correct.
Hence, you should have authentication mechanism at the backend of the App Gateway.
More details wrt Entra Authentication can be found here
Kindly let us know if this helps or you need further assistance on this issue.
Thanks,
Kapil
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