Hi @Uzair Ahmed Thanks for posting your query on Microsoft Q&A.
Firstly, please ensure that you have the latest version of Remote Desktop client for Windows: https://learn.microsoft.com/en-us/azure/virtual-desktop/users/connect-windows?tabs=subscribe
Secondly,
If you can't sign in and keep receiving an error message that says your credentials are incorrect, first make sure you're using the right credentials. If you keep seeing error messages, check to make sure you've fulfilled the following requirements:
-Have you assigned the Virtual Machine User Login role-based access control (RBAC) permission to the virtual machine (VM) or resource group for each user?
-Does your Conditional Access policy exclude multi-factor authentication requirements for the Azure Windows VM sign-in cloud application?
If you've answered "no" to either of those questions, you'll need to reconfigure your multi-factor authentication. To reconfigure your multi-factor authentication, follow the instructions in Enforce Azure Active Directory Multi-Factor Authentication for Azure Virtual Desktop using Conditional Access.
Reference documentation: https://learn.microsoft.com/en-us/azure/virtual-desktop/troubleshoot-client-windows
Please check this and let me know if you are still seeing this issue.