AWS to Azure connectivity: How to setup the Site to site connectivity?

I have requirement to connect both AWS & Azure sites - say, I have a VM in both AWS & Azure sites, I should be able to communicate between the VMs.

How do I setup the VPN connection between AWS & Azure? any reference article would be helpful.

There are a few options to achieve it in general:

1. In theory, you can cross-connect the two instances directly if they are publicly available and if you need to link just the two of them and nothing else will rely on that VPN tunnel, however in general this is a bad approach.
2. You can bring up firewall or a router instances capable of handling IPsec tunnels. Such instances are available in the AWS Marketplace and it's Azure analogue.
3. The recommended option would be to use the AWS Site-to-Site VPN service and it's counterpart in Azure (but this depends on the use-case).
4. Use a hybrid between the two - AWS service to firewall instance in Azure, or vice-versa

This blog post should get you started in case you choose option 3.