Data Factory - Azure AD Authentication for SQL Database

To use Azure identity authentication, follow these steps:

1. Provision an Azure Active Directory administrator for your
   server on the Azure portal, if not already done : This is an
   important step as for adding Azure data factory's managed
   identity as a user in SQL, an Azure AD account having at
   least "ALTER ANY USER" permission is required.

   If 2nd step is performed using a SQL Authenticated account,
   the SQL command will return error.

2. Create contained database users for the Azure Data Factory
   managed identity.Connect to the database from or to which
   you want to copy data by using tools like SQL Server
   Management Studio, with an Azure AD identity that has at least
   ALTER ANY USER permission. Run the following T-SQL

   CREATE USER [your Data Factory name] FROM EXTERNAL PROVIDER

3. Grant the Data Factory managed identity needed permissions as
   you normally do for SQL users and others. Run the following
   code
   ALTER ROLE [role name] ADD MEMBER [your Data Factory name]

Refer this link for demo.