You have to manually transfer the accounts across.
Go into each account, disable and re-enable MFA with the new phone.
Or if you have enabled backup and using the same type of phone (ie IOS or Android), then you can try this: https://support.microsoft.com/en-us/account-billing/back-up-and-recover-account-credentials-in-the-authenticator-app-bb939936-7a8d-4e88-bc43-49bc1a700a40