Hi anonymous user,
Quote the answer from this thread.
As of now, we cannot create a linked server to Azure SQL DB with MFA authentication type.
In a domain environment where users are connecting by using their domain logins, selecting Be made using the login's current security context is often the best choice. When users connect to the original SQL Server by using a SQL Server login, the best choice is often to select By using this security context, and then providing the necessary credentials to authenticate at the linked server. Please refer to MS document Create Linked Servers.
Suggest you using other authentication, you can follow the steps from this blog How to create a linked server to an Azure SQL database .
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