Hello @abhi saxena ,
Thanks for reaching out.
Please find following article for setting up Azure AD SSO with Jenkins, but this would use Oauth/OpenID protocol for SSO.
https://azure.microsoft.com/en-in/blog/jenkins-on-azure-from-zero-to-hero/
https://plugins.jenkins.io/azure-ad/
I am not sure if Jenkins does support SAML protocol based SSO? if so then refer this article to Add an application to your Azure Active Directory (Azure AD) tenant.
Note: If the application you are looking for is not in the gallery then you can select the link Create your own application and then under What are you looking to do with your application? choose Integrate any other application you don't find in the gallery
The following thirdparty article is worth checking out as it speaks about setting up Azure AD SSO: https://plugins.miniorange.com/saml-single-sign-on-sso-into-jenkins-using-azure-ad-as-idp#1549879878415-f44c9e7a-b962
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