SQL Server Management Studio (SSMS) has the ability to use a corporate proxy for data connections to Azure. Unfortunately it isn’t compatible with an authenticated proxy by default. There is no way that I know to change this in the application. However, you can do it by adding some configuration.
You do this by editing the Ssms.exe.config file. This sits next to the Ssms.exe file, on my machine this was C:\Program Files (x86)\Microsoft SQL Server\140\Tools\Binn\ManagementStudio.
You’ll need to option the config file as admin. Then look for the <system.net> section. You’ll want to add this configuration element: <defaultProxy enabled=”true” useDefaultCredentials=”true”></defaultProxy>
This line doesn’t exist in the configuration file so it uses the default settings. If it was included it would look like this: <defaultProxy enabled=”true” useDefaultCredentials=”false”></defaultProxy>
So we’re just adding the command to enable the use of the user credentials for the proxy. This does not hard code in a particular proxy, so it will still use the IE proxy settings for the workstation.