Azure Firewall does not natively support BGP (Border Gateway Protocol).
You can try using auto-learn SNAT Routes, which allow the firewall to dynamically learn and avoid SNAT traffic to non-RFC-1918 address spaces using Azure Route Server (ARS). While this sounds like Azure Firewall can interact with BGP in a limited way via ARS, it is important to note that Azure Firewall itself does not natively support BGP. However, the Machine Learning SNAT feature leverages BGP indirectly through ARS.
Reference: https://techcommunity.microsoft.com/t5/azure-network-security-blog/azure-firewall-s-auto-learn-snat-routes-a-guide-to-dynamic/ba-p/4014744#:~:text=The%20ARS%20is%20configured%20with,reliability%2C%20and%20cost%2Defficiency.
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