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.
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.