https://docs.microsoft.com/en-us/azure/hdinsight/hdinsight-extend-hadoop-virtual-network#directly-connect-to-hadoop-services

Create-HDINSG.ps1

$vnetName = "Replace with your virtual network name"
$resourceGroupName = "Replace with the resource group the virtual network is in"
$subnetName = "Replace with the name of the subnet that you plan to use for HDInsight"
# Get the Virtual Network object
$vnet = Get-AzureRmVirtualNetwork `
    -Name $vnetName `
    -ResourceGroupName $resourceGroupName
# Get the region the Virtual network is in.
$location = $vnet.Location
# Get the subnet object
$subnet = $vnet.Subnets | Where-Object Name -eq $subnetName
# Create a Network Security Group.
# And add exemptions for the HDInsight health and management services.
$nsg = New-AzureRmNetworkSecurityGroup `
    -Name "hdisecure" `
    -ResourceGroupName $resourceGroupName `
    -Location $location `
    | Add-AzureRmNetworkSecurityRuleConfig `
        -name "hdirule1" `
        -Description "HDI health and management address 52.164.210.96" `
        -Protocol "*" `
        -SourcePortRange "*" `
        -DestinationPortRange "443" `
        -SourceAddressPrefix "52.164.210.96" `
        -DestinationAddressPrefix "VirtualNetwork" `
        -Access Allow `
        -Priority 300 `
        -Direction Inbound `
    | Add-AzureRmNetworkSecurityRuleConfig `
        -Name "hdirule2" `
        -Description "HDI health and management 13.74.153.132" `
        -Protocol "*" `
        -SourcePortRange "*" `
        -DestinationPortRange "443" `
        -SourceAddressPrefix "13.74.153.132" `
        -DestinationAddressPrefix "VirtualNetwork" `
        -Access Allow `
        -Priority 301 `
        -Direction Inbound `
    | Add-AzureRmNetworkSecurityRuleConfig `
        -Name "hdirule3" `
        -Description "HDI health and management 168.61.49.99" `
        -Protocol "*" `
        -SourcePortRange "*" `
        -DestinationPortRange "443" `
        -SourceAddressPrefix "168.61.49.99" `
        -DestinationAddressPrefix "VirtualNetwork" `
        -Access Allow `
        -Priority 302 `
        -Direction Inbound `
    | Add-AzureRmNetworkSecurityRuleConfig `
        -Name "hdirule4" `
        -Description "HDI health and management 23.99.5.239" `
        -Protocol "*" `
        -SourcePortRange "*" `
        -DestinationPortRange "443" `
        -SourceAddressPrefix "23.99.5.239" `
        -DestinationAddressPrefix "VirtualNetwork" `
        -Access Allow `
        -Priority 303 `
        -Direction Inbound `
    | Add-AzureRmNetworkSecurityRuleConfig `
        -Name "hdirule5" `
        -Description "HDI health and management 168.61.48.131" `
        -Protocol "*" `
        -SourcePortRange "*" `
        -DestinationPortRange "443" `
        -SourceAddressPrefix "168.61.48.131" `
        -DestinationAddressPrefix "VirtualNetwork" `
        -Access Allow `
        -Priority 304 `
        -Direction Inbound `
    | Add-AzureRmNetworkSecurityRuleConfig `
        -Name "hdirule6" `
        -Description "HDI health and management 138.91.141.162" `
        -Protocol "*" `
        -SourcePortRange "*" `
        -DestinationPortRange "443" `
        -SourceAddressPrefix "138.91.141.162" `
        -DestinationAddressPrefix "VirtualNetwork" `
        -Access Allow `
        -Priority 305 `
        -Direction Inbound `
# Set the changes to the security group
Set-AzureRmNetworkSecurityGroup -NetworkSecurityGroup $nsg
# Apply the NSG to the subnet
Set-AzureRmVirtualNetworkSubnetConfig `
    -VirtualNetwork $vnet `
    -Name $subnetName `
    -AddressPrefix $subnet.AddressPrefix `
    -NetworkSecurityGroup $nsg
$vnet | Set-AzureRmVirtualNetwork