SharePoint online management shell

https://docs.microsoft.com/en-us/powershell/sharepoint/sharepoint-online/connect-sharepoint-online?view=sharepoint-ps

Connect-SPOService -Url https://contoso-admin.sharepoint.com -Credential admin@contoso.com

It must be the ADMIN url not the usual sharepoint one

To connect with multifactor authentication (MFA)

Connect-SPOService -Url https://contoso-admin.sharepoint.com