Private Endpoint support for Network Security Groups (NSGs) is now in public preview. This feature enhancement will provide you with the ability to enable advanced security controls on traffic destined to a private endpoint. In order to leverage this feature, you will need to set a specific subnet level property, called PrivateEndpointNetworkPolicies, to Enabled. In addition to toggling this property, you will need to also register for the Microsoft.Network/AllowPrivateEndpointNSG feature (note that registation time may take up to 15mins).
At this time, Private Link NSG Support is available in the following regions:
UsEast2Euap, UsCentralEuap, WestCentralUS, WestUS, WestUS2, EastUS, EastUS2, Asiaeast, Australiaeast, Japaneast, Canadacentral, Europenorth, Koreacentral, Brazilsouth, Uksouth, US South, US North, France Central
Managing Private Endpoint Network Policies.
Managing network policies for private endpoints - Azure Private Link | Microsoft Docs
Registering for the feature:
CLI - az feature | Microsoft Docs
PowerShell - Register-AzProviderFeature (Az.Resources) | Microsoft Docs
Overview of Network Security Groups:
Azure network security groups overview | Microsoft Docs
How it Works:
Network security group - how it works | Microsoft Docs
What is Private Link?
What is Azure Private Link? | Microsoft Docs