You can use Azure Point-to-Site (P2S) VPN to connect to your Azure Virtual Network from an individual device. This helps remote workers to access resources inside the VNet. You can use certificates, RADIUS or Azure AD for user authentication.
Azure AD authentication is the most recent and easiest method to configure. With AAD authentication you can leverage additional security features like MFA and Conditional Access. It uses OpenVPN protocol for tunneling. Below is the method to configure P2S VPN using Azure AD.