Hi @German Leon ,
to connect via RDP to an Azure VM (running Windows) you have to check if there are Network Security Groups (NSG) involved.
The NSGs could be associated with the VM and/or with the subnet the VM is connected to.
In most cases the issues to connect to a VM using RDP is related to the NSG configuration.
How NSG are working is described here: https://learn.microsoft.com/en-us/azure/virtual-network/network-security-group-how-it-works
Make sure the each related/associated NSG contains an "allow Inbound Security rule - any source ip - any source port - protocol TCP - any destination ip - destination port 3389 (RDP).
How to add a Security Rule is described here: https://learn.microsoft.com/en-us/azure/virtual-network/tutorial-filter-network-traffic#create-security-rules
In the screenshot you can see 2 NSGs affecting VM01 - the green marked one is associated to the subnet the VM is connected to - the blue marked one is associated directly with the VM. In both NSGs are Security Rules added "allowing Port 3389 TCP incoming".
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(If the reply was helpful please don't forget to upvote and/or accept as answer, thank you)
Regards
Andreas Baumgarten