CircleCI jobs can securely access Azure resources using OpenID Connect (OIDC) identity tokens, eliminating the need to store static credentials. The process involves creating an Azure Active Directory application and service principal, assigning roles, and adding federation credentials to make the application available to OIDC. A CircleCI context is created to store Azure-related IDs securely, which are then used in a CircleCI workflow configured in a YAML file. This setup includes using a Docker image with Azure CLI pre-installed and executing Azure login and VM listing commands with the reader role. The workflow demonstrates successful authentication and access to Azure resources using OIDC, showcasing CircleCI's capabilities for secure multi-cloud integration and deployment.