UPDATE
You can add connect_args, then try.
Please make sure you have same account login your windows pc and sql server.
engine = create_engine('mssql+pyodbc:///?odbc_connect=%s' % params, echo=True, connect_args={'autocommit': True})
PREVIOUS
You can consider to use Authentication=ActiveDirectoryPassword which be easier than Authentication=ActiveDirectoryIntegrated, and the code as below which is works for me.
Thank for Peter Pan's answer, for more details, you can refer his description. His answer has detailed usage of Authentication=ActiveDirectoryIntegrated in his description, I prefer Authentication=ActiveDirectoryPassword, so I posted my answer, you can refer to it.
How to connect to Azure sql database with python SQL alchemy using Active directory integrated authentication

from urllib import parse
from sqlalchemy import create_engine
your_user_name = 'pa**i@**a.onmicrosoft.com'
your_password_here = 'J***20'
connecting_string = 'Driver={ODBC Driver 17 for SQL Server};Server=tcp:yoursqlserver.database.windows.net,1433;Database=yoursqldb;Uid='+your_user_name+';Pwd='+your_password_here+';Encrypt=yes;TrustServerCertificate=no;Connection Timeout=30;Authentication=ActiveDirectoryPassword'
params = parse.quote_plus(connecting_string)
engine = create_engine("mssql+pyodbc:///?odbc_connect=%s" % params)
connection = engine.connect()
result = connection.execute("select 1+1 as res")
for row in result:
print("res:", row['res'])
connection.close()