Hi! You could try to follow this guide as it contains a good step by step description of this process:
https://nerdrangers.com/blog/moving-from-godaddy-to-your-own-microsoft-tenant/
Note: This is a non-Microsoft website. The page appears to be providing accurate, safe information. Watch out for ads on the site that may advertise products frequently classified as a PUP (Potentially Unwanted Products). Thoroughly research any product advertised on the site before you decide to download and install it.