Start here. This is the direct spoken answer to practice first.
Why this question matters
Managed identity login to Azure SQL crosses token acquisition, network reachability, database user mapping, and authorization. Separating those layers prevents a permission problem from being treated as a connection problem or vice versa.
I separate three boundaries. First, I verify that the app is using a supported Microsoft Entra path: SqlClient may acquire managed-identity credentials from connection-string authentication, or the application may acquire and supply an access token explicitly. Second, I confirm Azure SQL has a user for the actual system- or user-assigned identity with the required permissions. Third, I check firewall, private endpoint, DNS, and VNet routing. The exact login or connection error tells me which boundary to investigate first.