Azure Active Directory supports the SAML 2.0 web browser single sign-on (SSO) profile. https://msdn.microsoft.com/en-us//library/azure/dn195589.aspx

You will be able to install and configure the SAML extension for Magento (enabling it as a SAML Service Provider), and then connect it with Azure, as explained here:
https://azure.microsoft.com/en-us/documentation/articles/active-directory-saas-custom-apps/

Thanks for the reply., I have a few questions:

1. Will the users from the Azure SSO be added into magneto’s database
2. If the team at my client’s side, delete’s a user, will it be automatically deleted from Magento?
3. If the team at my client’s side, ADD’s a user, will it be automatically added in Magento?
4. I want to assign particular user groups to some users, is that possible during the insertion of the users in magento?
5. Is it possible to arrange a one to one demo to know how the extension is working?
6. are you able to configure the extension for us?

1. Yes if you enable at the settings the 'just-in-time" provisioning functionality.

2. No, but the user will not be able to access to the Magento since can't SSO anymore using Azure SSO.

3. No, this is not how SAML works, in SAML we are able to create users once they are authenticated on the Identity provider and try to access Magento, in this moment is created the account there.

4. Yes, group are supported on the plugin, there is a mapping section where you set what group from the Identity Provider will be assigned which what groups of Magento

5. Have you checked the video?
https://www.youtube.com/watch?v=XKTRkSEyUIA

There I show you how it works and also I navigate showing the setting panel.
Also the settings/features are described here:
http://cmsmart.net/magento-extensions/sixto-martin-saml-single-sign-on-magento-extension

but if you still require a 1-1 demo we can schedule it,

6. Yes, I offer support for any change/customization/help with settings of the Magento extension. My rate is 50$/hour.
I don't offer specific support of the Azure SSO part since I'm not an expert on that and you should be able to contract a better candidate for that part.

In order to solve 2 and 3 you will need to use something like:
https://skyvia.com/data-integration/integrate-magento-sql-azure