Once your account has been enabled to use multi-factor authentication for Office 365, the easiest verification method to use is Microsoft Authenticator as a security token. It's just one click instead of typing in a 6-digit code. And if you travel, you won't incur roaming fees when you use it.

When you sign in Office 365, the system will prompt for the "Approve sign in request". You can click "Sign in another way", there are 4 choices for you.

4 Ways to verify your identity:

Verification methods
Approval request
Use Microsoft Authenticator app for approval. A notification will deliver to the registered device, user can choose "Approve/Deny".
Verification Code
Use Microsoft Authenticator app on your registered device to retrieve the verification code. (The code will be renew every 30 seconds). This method is useful when you have no Internet access.
Text to phone number
A SMS with verification code will send to your registered phone number.
Call a phone number
User will receive a phone call on your registered device, you'll be asked to press the pound (#) key on the phone to confirm.
(Note: The greetings language used is based on the language setting of your software (e.g. Web Browser). If you sign in from a browser with Chinese language setting, the phone call greetings will be in Putonghua.)