Since the accepted answers are a bit dated, if you are out here in 2020 or later, the correct way for setting up integrated authentication is as follows:
(excerpted from here, the asp.net standard implementation)
https://docs.microsoft.com/en-us/azure/app-service/app-service-web-tutorial-connect-msi
add the Microsoft.Azure.Services.AppAuthentication nuget package.
modify your web.config by adding: (in configSections)
<section name="SqlAuthenticationProviders" type="System.Data.SqlClient.SqlAuthenticationProviderConfigurationSection, System.Data, Version=4.0.0.0, Culture=neutral, PublicKeyToken=b77a5c561934e089" />
(and then)
<SqlAuthenticationProviders>
<providers>
<add name="Active Directory Interactive" type="Microsoft.Azure.Services.AppAuthentication.SqlAppAuthenticationProvider, Microsoft.Azure.Services.AppAuthentication" />
</providers>
</SqlAuthenticationProviders>
It's important to pay attention to the name you use there. Then... your connection string will look like:
<add name="MyEntities" connectionString="metadata=res://*/Data.MyDB.csdl|res://*/Data.MyDB.ssdl|res://*/Data.MyDB.msl;provider=System.Data.SqlClient;provider connection string="server=tcp:MyDB.database.windows.net;database=MyDB;UID=AnyString;Authentication=Active Directory Interactive;"" providerName="System.Data.EntityClient" />
The important notes are that the name you specify in the SqlAuthenticationProviders section must be the exact same name you use in the connection string for Authentication.
The other important note is that, coming from your old connection strings, you have to change Data Source to be Server, and Initial Catalog to be Database. UID=AnyString
is necessary, or an exception is thrown.
Failure to follow these steps exactly will net you a lovely error:
System.Data.Entity.Core.EntityException: The underlying provider failed on Open. ---> System.AggregateException: One or more errors occurred. ---> System.AggregateException: One or more errors occurred. ---> AdalException: The format of the specified domain name is invalid.\r\n at ADALNativeWrapper.ADALGetAccessToken(String username, IntPtr password, String stsURL, String servicePrincipalName, ValueType correlationId, String clientId, Boolean* fWindowsIntegrated, Int64& fileTime)\r\n at System.Data.SqlClient.ActiveDirectoryNativeAuthenticationProvider.<>c__DisplayClass2_0.b__0()\r\n at System.Threading.Tasks.Task`1.InnerInvoke()\r\n at System.Threading.Tasks.Task.Execute()\r\n --- End of inner exception stack trace
At the first the error doesn't make sense, but once you see that the parameters were renamed from Data Source to Server, it does make sense.