With a Windows PC geared for VPN use, you need to share your connection with your Xbox console. After linking your PC and Xbox over an Ethernet cable, follow the below steps to share your existing PC VPN.
Connect an Ethernet cable between your Xbox and VPN-ready PC.
Right-click the Start Button
Click Settings
Click Network
Click VPN
Click Change Adapter Settings
Click Proprieties
Click the Sharing tab.
Check the Allow other network users to connect through this computer’s internet connection box.
Click the Select a private network connection box.
Choose your X box Ethernet connection.
Press OK
Press the Xbox button on your Xbox controller
Press the RB buttonthree times.
Select Settings.
Select the Network tab.
Select Network Settings .
Select the Test network conection tile
To use your VPN on Xbox, your Windows PC must remain running with an active VPN connection.