Establishing a Zero Trust Network Architecture in Azure involves several steps and components. Zero Trust is a security model that requires strict identity verification for every person and device trying to access resources on a private network, regardless of whether they are within or outside of the network perimeter. Azure provides various tools and services that can help you implement a Zero Trust architecture. Below is a detailed guide on setting it up.

1. Understanding Zero Trust Principles

Before diving into the technical aspects, it is crucial to understand the fundamentals of Zero Trust which are:

• Never trust, always verify: Do not assume trust based on location (inside or outside of the corporate network) and verify every access request regardless of the source.
• Least privilege access: Grant users and devices the minimum level of access they need to accomplish their tasks.
• Assume breach: Operate under the assumption that a breach has occurred or will occur and minimize the impact.
• Micro-segmentation: Divide the network into small, secure zones to contain and control network traffic.
• Explicit verification: Continuously authenticate and authorize based on all available data points.

2. Planning and Design

• Assess your current infrastructure: Understand what resources you have in Azure and how they are currently secured.
• Identify sensitive data and assets: Determine which data and assets require higher levels of protection.
• Define security policies: Decide what your security policies will be based on roles, data classification, and compliance requirements.
• Design network topology and access controls: Plan your network segmentation and how you will enforce policies.

3. Identity and Access Management (IAM)

• Use Azure Active Directory (Azure AD): Set up Azure AD for identity and access management.
• Multi-Factor Authentication (MFA): Enforce MFA to verify user identities.
• Conditional Access Policies: Use conditional access to define and enforce policies that react to the context of the login attempt.
• Role-Based Access Control (RBAC): Assign permissions using RBAC principles to ensure that only authorized users have the necessary access.

4. Network Segmentation and Micro-Segmentation

• Use Azure Virtual Network (VNet): Create VNets to segment your network.
• Implement subnets: Within your VNet, create subnets to further segregate internal traffic.
• Network Security Groups (NSGs) and Azure Firewall: Use NSGs to define and enforce access control lists (ACLs), and Azure Firewall for advanced threat protection and filtering.

5. Monitoring and Analytics

• Implement Azure Monitor: Use Azure Monitor for collecting and analyzing data to detect threats.
• Log Analytics: Use Log Analytics for querying and viewing the data collected by Azure Monitor.
• Azure Sentinel: Integrate Azure Sentinel, Microsoft’s cloud-native security information and event manager (SIEM), to proactively detect, investigate, and respond to threats.

6. Implementing Security Controls

• Encrypt Data: Use Azure services like Azure Storage Service Encryption and Azure Disk Encryption to protect data at rest.
• Secure Data Transfer: Ensure data in transit is encrypted using technologies like SSL/TLS for protecting data in transit.
• Application Gateway Web Application Firewall (WAF): Deploy WAF to protect your web applications from common web vulnerabilities.

7. Continual Verification and Improvement

• Regular Assessments: Constantly assess the configuration and compliance status of your resources using tools like Azure Security Center.
• Automated Responses: Utilize Azure policy and Azure Automation to create automated responses for non-compliant resources or detected threats.
• User and Entity Behavior Analytics (UEBA): With Azure Sentinel, employ UEBA to detect anomalies and potential threats based on user activity.

8. Staff Training and Support Procedures

• Educate Your Team: Train your staff on the Zero Trust principles and your specific security policies.
• Create Support Workflows: Develop procedures for your support team to handle security events or access issues that arise.

9. Compliance and Certification

• Understand Regulations: Be aware of the different compliance requirements for your industry, such as GDPR, HIPAA, etc.
• Use Compliance Tools: Utilize Azure Compliance Manager to track your compliance posture.

Implementing a Zero Trust Network Architecture in Azure requires a thorough approach involving multiple Azure services and security mechanisms. Remember to stay updated with Azure’s evolving security landscape to continually enhance your Zero Trust strategy.