How to Use VPN on Xbox One
To use a VPN on Xbox One, you’ll need to set it up on your router or share your computer’s VPN connection with the console. Xbox doesn't support VPN apps natively, so this is the best workaround.
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Use your PC's internet connection to share its VPN with your Xbox One by connecting them with an Ethernet cable and adjusting network settings.
Personaly, I set up my VPN on my router (an ASUS one) and connected my Xbox One to the Wi-Fi. Works like a charm!
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