@Jaiganesh Rao Posting as answer since we didn't got clarity on some points. There might be multiple reasons why you are not able to RDP to session.
First of all assuming you might be talking about direct RDP to session host which was brought as a new capability last year and is still under preview .You can follow the below to check if you have completed the pre requisite and steps:
https://learn.microsoft.com/en-us/azure/virtual-desktop/shortpath
As mentioned this is still under preview and still being worked upon. It may or may not work as expected and hence is not recommended for production work load.
You might be talking about normal windows client as well for which you can follow below:
Depending on scenario there is a possibility that this might be a permission issue or another thing is License requirement for same. We do have few troubleshooting guides which can help you out to check if your scenario fits in any or not as below:
https://learn.microsoft.com/en-us/troubleshoot/azure/virtual-machines/troubleshoot-rdp-connection
https://learn.microsoft.com/en-us/azure/virtual-desktop/troubleshoot-vm-configuration
Hope it helps!!!
Please "Accept as Answer" if it helps so it can help others in community looking for help on similar topics.