Connect-MgGraph -Scopes UserAuthenticationMethod.ReadWrite.All
Select-MgProfile Beta
[array]$Users = Get-MgUser -Filter "assignedLicenses/`$count ne 0 and userType eq 'Member'" -ConsistencyLevel eventual -CountVariable Records -All
$Report = [System.Collections.Generic.List[Object]]::new() 
ForEach ($User in $Users) {
 $Uri = ("https://graph.microsoft.com/beta/users/{0}/authentication/signInPreferences" -f $User.Id)
 $AuthData = Invoke-MgGraphRequest -Uri $Uri -Method Get
 $ReportLine = [PSCustomObject]@{
    User   = $User.displayName
    UPN    = $User.userPrincipalName
    'System preferred MFA enabled' = $AuthData.isSystemPreferredAuthenticationMethodEnabled
    'System preferred MFA method'  = $AuthData.systemPreferredAuthenticationMethod
    'Secondary auth method'        = $AuthData.userPreferredMethodForSecondaryAuthentication }
  $Report.Add($ReportLine)
}

Source: https://office365itpros.com/2023/06/21/report-user-authentication-methods/