Although SMB 3.x is considered to be an internet safe protocol, the networking considerations documentation indicates that ISPs and other organizations in some cases block communications over port 445 required by SMB.
An Azure VPN Point-to-Site (P2S) connection in combination with a private endpoint is recommended for users working from home or other locations.
Microsoft has a detailed guide on setting up a file share with a private endpoint and p2s vpn connection for Microsoft Windows users,