A network security group works like a firewall. You can attach a network security group to a virtual network and/or individual subnets within the virtual network. You can also attach a network security group to a network interface assigned to a virtual machine. You can use multiple network security groups within a virtual network to restrict traffic between resources such as virtual machines and subnets.
You can filter network traffic to and from Azure resources in an Azure virtual network with a network security group. A network security group contains security rules that allow or deny inbound network traffic to, or outbound network traffic from, several types of Azure resources.
References:
https://docs.microsoft.com/en-us/azure/virtual-network/security-overview