How to connect to Office 365 using PowerShell and access Exchange Online in 2021

Problem:

How do I connect to Office 365/Exchange online and make changes or retrieve data using PowerShell?

Solution:

First you need to install the AzureAD PowerShell module:

Install-Module -Name AzureAD

Then you need to install the Exchange Online PowerShell module:

Install-Module -Name ExchangeOnlineManagement -RequiredVersion 2.0.5

Then you need to import the Exchange Online PowerShell module:

Import-Module ExchangeOnlineManagement

Then you need to connect to AzureAD:

Connect-AzureAD

Then you need to connect to Exchange Online:

Connect-ExchangeOnline -UserPrincipalName robin.clarke@mytenant.com

Now you can run some commands:

Get-Mailbox -ResultSize unlimited | export-csv "c:\temp\Mailbox.csv" -nti