If you cannot connect to an Azure VM using RDP, ensure that you are using the correct credentials, and then follow the solutions provided here.

Microsoft on Tuesday announced a preview of the Azure Bastion service, which lets a user connect to an Azure virtual machine (VM) using a private Internet connection.

Using Azure Bastion to manage VMs via the Azure Portal comes with yet another advantage, namely making jumpboxes — virtual machines used as a springboard to connect to all other VMs in the VNet ...

A public preview of a new, more feature-rich SKU of Microsoft's Azure Bastion virtual machine (VM) security product is now available.