How to update all Azure Powershell Az modules?

Try this

Get-InstalledModule -Name Az* | Update-Module

You can add -Force after Update-Module, so you won't be prompted with stuff like an untrusted repository every single module.

Update-Module Az -Force

All the individual modules are dependencies of the Az module. So this should do the trick.

Add -Verbose if you want to track progress.

This article provides complete detailed information and steps on e Azure Az PowerShell module: https://docs.microsoft.com/en-us/powershell/azure/new-azureps-module-az?view=azps-5.7.0 If you are looking for specific service module check in the reference section

You could try this script, which I wrote a while ago. It goes through every Az.* module and updates to the latest version, including removing previous versions that are still installed.

# Go through all Az.* versions
# Use -ListAvailable to show all versions
Get-Module -Name Az.* -ListAvailable | ForEach-Object {
    $moduleName = $_.Name
    $currentVersion = [Version]$_.Version

    Write-Host "Current version $moduleName [$currentVersion]"

    # Get latest version from gallery
    $latestVersion = [Version](Find-Module -Name $moduleName).Version
    
    # Only proceed if latest version in gallery is greater than your current version
    if ($latestVersion -gt $currentVersion) {
        Write-Host "Found latest version $modulename [$latestVersion] from $($latestVersionModule.Repository)"

        # Check if latest version is already installed before updating
        $latestVersionModule = Get-InstalledModule -Name $moduleName -RequiredVersion $latestVersion -ErrorAction SilentlyContinue
        if ($null -eq $latestVersionModule) {
            Write-Host "Updating $moduleName Module from [$currentVersion] to [$latestVersion]"
            Update-Module -Name $moduleName -RequiredVersion $latestVersion -Force
        }
        else {
            Write-Host "No update needed, $modulename [$latestVersion] already exists"
        }

        # Uninstall outdated version
        Write-Host "Uninstalling $moduleName [$currentVersion]"
        Uninstall-Module -Name $moduleName -RequiredVersion $currentVersion -Force
    }

    # Otherwise we already have most up to date version
    else {
        Write-Host "$moduleName already up to date"
    }
}