"The Azure Storage Client Library for .NET supports encrypting data within client applications before uploading to Azure Storage, and decrypting data while downloading to the client. The library also supports integration with Azure Key Vault for storage account key management."
TDE encrypts the storage of an entire database by using a symmetric key called the database encryption key. In SQL Database the database encryption key is protected by a built-in server certificate. The built-in server certificate is unique for each SQL Database server."
Azure Disk Encryption for Linux and Windows Virtual Machines-Public Preview Now Available - Microsoft Azure Security - Site Home - MSDN Blogs
some older info:
Client-Side Encryption for Microsoft Azure Storage – Preview - Microsoft Azure Storage Team Blog - Site Home - MSDN Blogs