We need to make Auth0 the source for users. In other words, Auth0 is the IdP and Azure AD is the SP/relying party. Can Auth0 act as an Identity Provider to Azure AD?
You can implement this as below:
- In the Azure AD portal, go to External Identities in the left sidebar → All identity providers → New SAML/WS-Fed IdP.
- In Auth0, this would be a generic SAML setup using the SAML2 Web App addon.