There are many reasons to set up a VPN (Virtual Private Network), including encrypting data, bypassing location blocking and concealing traces on the network, so if a valid VPN server is available, it can be easily connected to or set up on the Xiaomi smartphone.

Note: In order to save the VPN settings, we need to create a lock-screen password if it is not available.

Android 10 (MIUI 12.0)
Step 1:  Open the  Settings
Step 2:  Tap on  Connection & sharing
Step 3:  Tap on  VPN
Step 4:  Tap on  Add VPN
Step 5:  Enter the appropriate  data
Step 6:  Tap on  Save
Step 7:  Enable  VPN
  1. Open the Settings
  2. Tap on Connection & sharing
  3. Tap on VPN
  4. Tap on Add VPN
  5. Enter the appropriate data
  6. Tap on Save
  7. Enable VPN

Xiaomi Instructions