I need to create SQL DW link server with Azure Active Directory (AAD) credentials

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I need to create SQL DW link server with Azure Active Directory (AAD) credentials.

I tried with windows and AAD Service Account but received an error:

Login failed for user ‘Domain\username’. (Microsoft SQL Server, Error: 18456)

Please let me know is there any way to achieve this. Thanks in advance!

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Linked servers are not supported from Azure SQL Data Warehouse.

If you're trying to connect from SQL Server to Azure SQL Data Warehouse, you might find these note helpful:

https://blogs.msdn.microsoft.com/sqldw/2016/04/12/connecting-a-linked-server-to-azure-sql-data-warehouse/