Hi @Diego Cedeño,
Welcome to the Microsoft Q&A Platform! Thank you for asking your question here.
The error "Login failed for user '' (Microsoft SQL Server, Error: 18456)" when attempting to use a Microsoft Entra Service Principal in SQL Server Management Studio (SSMS) typically indicates a misconfiguration in the Microsoft Entra or SQL Server authentication setup.
To resolve this, you need to add an AAD user to the Azure SQL Database. you may also need to change the default database option. By default, SSMS attempts to connect to the Master database, where this AAD user may not exist since AAD users are contained within individual user databases.
Below are links to some parallel threads that may assist you in troubleshooting your issue.
https://learn.microsoft.com/en-us/answers/questions/133709/login-failed-for-user
Please refer to the below mentioned links for more information.
I hope, This response will address your query and helped you to overcome on your challenges.
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