First you will need create a contained database user inside Azure SQL Database, run below:
create user [user.name@domain.com] from external provider
Alternatively assign AD user/group of admin(s) on Azure SQL Server level
Then use the "Active Directory - Universal with MFA support" authentication type in SSMS
From the "SQL Server Administration: Inside Out" book
Active Directory Universal Authentication
Universal Authentication uses Azure two-factor authentication, and you can use it for connecting to Azure SQL Database or SQL Data Warehouse resources. SQL Server Management Studio can use Azure Authenticator application or other two-factor methods
Currently, this feature is limited to authentication with Azure AD accounts for connecting to a database in Azure SQL Database or Data Warehouse, though further Microsoft development around two-factor authentication for server access is likely - and welcomed
This method, like two more Azure AD-based authentication methods (Active Directory Password, Active Directory Integrated), was first supported by SQL Server Management Studio as of SQL Server 2016
