Hi @Ashwani A. Kumar,
To have inbound emails be delivered to Exchange Online directly, you need to point your MX record to Exchange Online Protection service.
More detailed information are introduced in this link: Inbound messages from the Internet
If the answer is helpful, please click "Accept Answer" and kindly upvote it. If you have extra questions about this answer, please click "Comment".
Note: Please follow the steps in our documentation to enable e-mail notifications if you want to receive the related email notification for this thread.