As it ships, Microsoft Edge is a privacy nightmare. Here's how to make it a bit better:
Go to Settings (triple-dot menu in top-right corner, then Settings)
Click Microsoft Rewards
Click Personal Info
Optionally disable "Save and fill basic info"
Disable "Automatically fill my info on sign up forms"
Disable "Ask me if I want to save custom info"
Click left arrow by Profiles to go back to Profile settings
Click Passwords
Disable "Offer to save passwords"
Disable "Autofill passwords"
Click left arrow by Profiles to go back to Profile settings
Click Payment info
Click the triple-dash menu to the left of Settings
Select "Privacy, search, and services"
Disable "Allow sites to check whether you have payment methods saved"
Ensure "Help improve Microsoft products by sending optional diagnostic data about how you use the browser, websites you visit, and crash reports" is disabled
Ensure "Allow Microsoft to use your browsing activity including history, favourites, usage and other browsing data to personalise Microsoft Edge and Microsoft services like ads, search, shopping and news" is disabled
Disable "Website typo protection", as it may send the
URL of each site visited to Microsoft
Disable "Turn on site safety services to get more info about sites you visit" because it communicates each site you visit to Microsoft Bing search
Disable "Use a web service to help resolve navigation errors" because it sends data to Microsoft for each site you try to go to that can't be found
Disable "Suggest similar sites when a website can't be found"
Disable "Save time and money with Shopping in Microsoft Edge"
Disable "Get notifications of related things you can explore with Discover"
Click "Address bar and search"
Disable "Show me search and site suggestions using my typed characters"
Disable "Show me suggestions from history, favourites and other data on this device using my typed characters"
Change your search engine to anything but Bing
Click the triple-dash menu to the left of Settings
Select Appearance
Disable "Show smart actions"
Click "Hover menu"
Click the left arrow by Appearance to go back to the Appearance settings
Disable "Show mini menu when selecting text"
Disable "Show smart actions"
Click the triple-dash menu to the left of Settings
Select Sidebar
Click the triple-dash menu to the left of Settings
Select "Start, home, and new tabs"
Click the triple-dash menu to the left of Settings
Select "Languages"
Disable "Offer to translate pages that aren't in a language I read"
Disable "Use writing assistance"
Set "Share additional operating system region" to "Never"
Click the triple-dash menu to the left of Settings
Select "System and performance"
Click the triple-dash menu to the left of Settings
Select "Accessibility"
Click the triple-dash menu to the left of Settings
Select "Profiles"
Click the arrow to the left of Profiles to return to the Profiles settings
Select "Payment info"
Click the arrow to the left of Profiles to return to the Profile settings