Now available in Azure Government, Azure Firewall service offers fully stateful native firewalling capabilities for virtual network resources, with built-in high availability and auto scaling based on load and needs. Create and enforce connectivity policies across multiple subscriptions and virtual networks using application (FQDN filtering) and network level filtering rules. Azure Firewall provides complete virtual network protection, is fully integrated with the Azure platform, portal UI and services, for outbound, inbound, spoke-spoke and hybrid connections (both VPN and ExpressRoute).
Learn more about Azure Firewall
Read the Azure Firewall documentation