Import Module – Launch Exchange Online Powershell with MFA from Powershell

In order to script the connection to exchange online with mfa, you must first download the Microsoft.Exchange.Management.ExoPowershellModule.dll

I assume you will have to periodically update the dll via the EAC GUI.

Open the Exchange admin center (EAC) for your Exchange Online organization.

In the EAC, go to Hybrid > Setup and click the appropriate Configure button to download the Exchange Online Remote PowerShell Module for multi-factor authentication.

In the Application Install window that opens, click Install.

After you get this working you can proceed.

Now to connect from Powershell:

Import-Module $((Get-ChildItem -Path $($env:LOCALAPPDATA+”\Apps\2.0\”) -Filter Microsoft.Exchange.Management.ExoPowershellModule.dll -Recurse ).FullName|?{$_ -notmatch “_none_”}|select -First 1)
$EXOSession = New-ExoPSSession
Import-PSSession $EXOSession

More Details found here.