Xbox One does not have built-in VPN functionality. An easy workaround is using Smart DNS instead. Please refer to the below guides: Smart DNS Setup on Xbox One.
If you would still like to use a VPN connection on your Xbox One, you have two options.
- Set up a VPN on your router if it is VPN-compatible. Please refer to the Routers section in the support area.
- Alternatively, you can set up a VPN-enabled virtual router on your Windows PC or Mac. Please use these tutorials: