Mendix supports a whole variety of authentication methods. I would recommend having a look at the AppStore to see which modules are already premade, but even if there is no premade module you can easily build your own. 

Some examples:

Mendix has app store module support to consume different authentication methods (SAML, OAuth, OpenID). Identity provider software (such as Okta, AzureAD etc) provide such methods. If your identity provider supports a method that Mendix supports as well, you can use them together.

Mendix has the best support for SAML, you can find the module here. This is a module created and supported by Mendix (the company). Most identity providers support SAML as well, so this gives great flexibility to choose from these products.

OAuth is supported by a module that is developed by the community, and it is not supported by Mendix (the company). There is no ready-to-use module for OpenID, but I believe the OAuth module can be adapted the support OpenID.

To answer your question: since SAML is very well supported in Mendix, and most identity providers support SAML, you can use Mendix with most of them, and I know of projects where Okta and AzureAD have been used.