Hi @Rishi ,
Thanks for using Microsoft Q&A !!
You cannot directly use Azure MI agent job step to connect to an Azure File Share. You have to either create a custom OS script or PowerShell script which could connect to Azure File Share or a blob to fetch the script to execute it. Please refer to - Create a CmdExec Job Step and Run Windows PowerShell Steps in SQL Server Agent for configuring your job agent to use CMDExec or PowerShell steps.
Please refer to Download a file to download the content of the file from Azure File Share using PowerShell or Azure CLI.
Please let me know if you have any questions.
Thanks
Saurabh