Hello @Giuseppe Lacagnina ,
Welcome to Microsoft QnA.
You can use SCP to move filed in and out of your Azure VM to your local workstation.
How much data are you planning to copy?
Here are the steps detailed in the below document.
https://learn.microsoft.com/en-us/azure/virtual-machines/copy-files-to-vm-using-scp
Let me know if this helps. If you have any queries, feel free to reach back to me by dropping a comment on this.
Thank you :)
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