Azure SQL Db Linked Server - Secured Connection Methods?
The main difference between this answer and the previous one offered is the (what I find to be incredibly important) acknowledgement of MitM attacks rather than a blanket statement which overlooks caveats.
For posterity, from Securing your SQL Database in the documentation:

Important
All connections to Azure SQL Database require encryption (SSL/TLS) at all times while data is &quot;in transit&quot; to and from the database. In your application's connection string, you must specify parameters to encrypt the connection and not to trust the server certificate (this is done for you if you copy your connection string out of the Azure portal), otherwise the connection does not verify the identity of the server and is susceptible to &quot;man-in-the-middle&quot; attacks. For the ADO.NET driver, for instance, these connection string parameters  are Encrypt=True and TrustServerCertificate=False. For information about TLS and connectivity, see TLS considerations.



For other ways to encrypt your data, consider:

Cell-level encryption to encrypt specific columns or even cells of data with different encryption keys.

If you need a Hardware Security Module or central management of your encryption key hierarchy, consider using Azure Key Vault with SQL Server in an Azure VM.