@ChetanJavir-3158 welcome to the Microsoft Q&A community.
It sounds like you've followed all the necessary steps, but authentication using Entra ID for your Azure VM via Bastion is still failing. Based on similar cases, here are a few things you might want to check:
Ensure VM OS Compatibility – Your Azure VM should be running Windows 10 version 20H2 or later, Windows 11, or Windows Server 2022 with the October 2022 Cumulative Update or later.
Verify Client Machine Requirements – The Windows client machine you're using for RDP should be Microsoft Entra registered, joined, or hybrid joined to the same directory as the VM.
Check Role Assignments – You mentioned that the user has the Virtual Machine Administrator Login role, but also ensure that the user has the Virtual Machine User Login role assigned.
Use Correct Login Format – When logging in via RDP, ensure you're using the correct format:
For Windows 10 or later PCs: AzureAD\UPN
**For Windows Server:** `******@domain.com`.
**Enable Native Client Support for Bastion** – Some users have reported that enabling **native client support** when deploying Bastion resolved their authentication issues.
**Check Bastion Permissions** – Ensure that the user has the **Reader role** assigned on:
The virtual machine
The NIC with the private IP of the VM
The Azure Bastion resource
The virtual network of the target VM (if Bastion is deployed in a peered virtual network).
**Review Kerberos Authentication** – If applicable, check whether **Kerberos authentication** is correctly configured for Bastion.
You might also find additional troubleshooting steps in Microsoft's official documentation and this discussion on Microsoft Q&A.
I hope these helps. Let me know if you have any further questions or need additional assistance.
Also if these answers your query, do click the "Upvote" and click "Accept the answer" of which might be beneficial to other community members reading this thread.