I want to set up an Event Hub Data connection in an Azure Data Explorer.
The Azure Data Explorer is in a different tenant than the Event Hub.
Checking the Azure Documentation about Cross-tenant data connection it's possible to do it by assigning roles to user accounts instead of service principals.
I don't want to use my personal user account or any other personal account. I want to use Service Principals if it's possible or should I create User Accounts only for this authorization process?
ADX Event-Hub data connection supports two forms of authentication. Managed Identities and Event Hub Keys. As you mentioned MIs are not capable of authenticating to other tenants, but you can use account key based data connection as an alternative.