To integrate Azure OpenAI with an ASP.NET Core application, first create an Azure OpenAI resource and obtain your endpoint and API key. Then install the Azure.AI.OpenAI NuGet package and configure the OpenAIClient in your service layer using those credentials. Call the API (e.g., chat completions or embeddings) from your controllers or services to process user input. Finally, secure your keys using environment variables or Azure Key Vault and handle responses asynchronously for better performance.