az login returns "Remote end closed connection without response"

When I run az login, trying to login takes several minutes and then prints "Remote end closed connection without response"

PS C:\IoT\Script> az login --service-principal --username "MASKED" --password='MASKED' --tenant "MASKED"
az : ERROR: Error occurred in request., ConnectionError: HTTPSConnectionPool(host='management.azure.com', port=443): Max retries exceeded with url: /subscriptions?api-version=2016-06-01 (Caused by ProtocolError('Connection aborted.',
 RemoteDisconnected('Remote end closed connection without response',)))
At line:1 char:1+ az login --service-principal --username "5eae7f47-321a-4a3c-8569-ed36 ...+ ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~+ CategoryInfo          : NotSpecified: (ERROR: Error oc...t response',))):String) [], RemoteException+ FullyQualifiedErrorId : NativeCommandError
Traceback (most recent call last):
  File "C:\Program Files (x86)\Microsoft SDKs\Azure\CLI2\lib\site-packages\urllib3\connectionpool.py", line 601, in urlopen
    chunked=chunked)
  File "C:\Program Files (x86)\Microsoft SDKs\Azure\CLI2\lib\site-packages\urllib3\connectionpool.py", line 387, in _make_request
    six.raise_from(e, None)
  File "<string>", line 2, in raise_from
  File "C:\Program Files (x86)\Microsoft SDKs\Azure\CLI2\lib\site-packages\urllib3\connectionpool.py", line 383, in _make_request
    httplib_response = conn.getresponse()
  File "C:\Program Files (x86)\Microsoft SDKs\Azure\CLI2\lib\http\client.py", line 1331, in getresponse
    response.begin()
  File "C:\Program Files (x86)\Microsoft SDKs\Azure\CLI2\lib\http\client.py", line 297, in begin
    version, status, reason = self._read_status()
  File "C:\Program Files (x86)\Microsoft SDKs\Azure\CLI2\lib\http\client.py", line 266, in _read_status
    raise RemoteDisconnected("Remote end closed connection without"
http.client.RemoteDisconnected: Remote end closed connection without response
During handling of the above exception, another exception occurred:
Traceback (most recent call last):
  File "C:\Program Files (x86)\Microsoft SDKs\Azure\CLI2\lib\site-packages\requests\adapters.py", line 440, in send
    timeout=timeout
  File "C:\Program Files (x86)\Microsoft SDKs\Azure\CLI2\lib\site-packages\urllib3\connectionpool.py", line 668, in urlopen
    **response_kw)
  File "C:\Program Files (x86)\Microsoft SDKs\Azure\CLI2\lib\site-packages\urllib3\connectionpool.py", line 668, in urlopen
    **response_kw)
  File "C:\Program Files (x86)\Microsoft SDKs\Azure\CLI2\lib\site-packages\urllib3\connectionpool.py", line 668, in urlopen
    **response_kw)
  File "C:\Program Files (x86)\Microsoft SDKs\Azure\CLI2\lib\site-packages\urllib3\connectionpool.py", line 639, in urlopen
    _stacktrace=sys.exc_info()[2])
  File "C:\Program Files (x86)\Microsoft SDKs\Azure\CLI2\lib\site-packages\urllib3\util\retry.py", line 388, in increment
    raise MaxRetryError(_pool, url, error or ResponseError(cause))
urllib3.exceptions.MaxRetryError: HTTPSConnectionPool(host='management.azure.com', port=443): Max retries exceeded with url: /subscriptions?api-version=2016-06-01 (Caused by ProtocolError('Connection aborted.', RemoteDisconnected('Re
mote end closed connection without response',)))
During handling of the above exception, another exception occurred:
Traceback (most recent call last):
  File "C:\Program Files (x86)\Microsoft SDKs\Azure\CLI2\lib\site-packages\msrest\service_client.py", line 257, in send
    **kwargs)
  File "C:\Program Files (x86)\Microsoft SDKs\Azure\CLI2\lib\site-packages\requests\sessions.py", line 508, in request
    resp = self.send(prep, **send_kwargs)
  File "C:\Program Files (x86)\Microsoft SDKs\Azure\CLI2\lib\site-packages\requests\sessions.py", line 618, in send
    r = adapter.send(request, **kwargs)
  File "C:\Program Files (x86)\Microsoft SDKs\Azure\CLI2\lib\site-packages\requests\adapters.py", line 508, in send
    raise ConnectionError(e, request=request)
requests.exceptions.ConnectionError: HTTPSConnectionPool(host='management.azure.com', port=443): Max retries exceeded with url: /subscriptions?api-version=2016-06-01 (Caused by ProtocolError('Connection aborted.', RemoteDisconnected(
'Remote end closed connection without response',)))
During handling of the above exception, another exception occurred:
Traceback (most recent call last):
  File "C:\Program Files (x86)\Microsoft SDKs\Azure\CLI2\lib\site-packages\knack\cli.py", line 197, in invoke
    cmd_result = self.invocation.execute(args)
  File "C:\Program Files (x86)\Microsoft SDKs\Azure\CLI2\lib\site-packages\azure\cli\core\commands\__init__.py", line 332, in execute
    six.reraise(*sys.exc_info())
  File "C:\Program Files (x86)\Microsoft SDKs\Azure\CLI2\lib\site-packages\six.py", line 693, in reraise
    raise value
  File "C:\Program Files (x86)\Microsoft SDKs\Azure\CLI2\lib\site-packages\azure\cli\core\commands\__init__.py", li
ne 306, in execute
    result = cmd(params)
  File "C:\Program Files (x86)\Microsoft SDKs\Azure\CLI2\lib\site-packages\azure\cli\core\commands\__init__.py", line 167, in __call__
    return super(AzCliCommand, self).__call__(*args, **kwargs)
  File "C:\Program Files (x86)\Microsoft SDKs\Azure\CLI2\lib\site-packages\knack\commands.py", line 109, in __call__
    return self.handler(*args, **kwargs)
  File "C:\Program Files (x86)\Microsoft SDKs\Azure\CLI2\lib\site-packages\azure\cli\core\__init__.py", line 420, in default_command_handler
    result = op(**command_args)
  File "C:\Program Files (x86)\Microsoft SDKs\Azure\CLI2\lib\site-packages\azure\cli\command_modules\profile\custom.py", line 131, in login
    allow_no_subscriptions=allow_no_subscriptions)
  File "C:\Program Files (x86)\Microsoft SDKs\Azure\CLI2\lib\site-packages\azure\cli\core\_profile.py", line 165, in find_subscriptions_on_login
    username, sp_auth, tenant, self._ad_resource_uri)
  File "C:\Program Files (x86)\Microsoft SDKs\Azure\CLI2\lib\site-packages\azure\cli\core\_profile.py", line 692, in find_from_service_principal_id
    result = self._find_using_specific_tenant(tenant, token_entry[_ACCESS_TOKEN])
  File "C:\Program Files (x86)\Microsoft SDKs\Azure\CLI2\lib\site-packages\azure\cli\core\_profile.py", line 740, in _find_using_specific_tenant
    for s in subscriptions:
  File "C:\Program Files (x86)\Microsoft SDKs\Azure\CLI2\lib\site-packages\msrest\paging.py", line 121, in __next__
    self.advance_page()
  File "C:\Program Files (x86)\Microsoft SDKs\Azure\CLI2\lib\site-packages\msrest\paging.py", line 107, in advance_page
    self._response = self._get_next(self.next_link)
  File "C:\Program Files (x86)\Microsoft SDKs\Azure\CLI2\lib\site-packages\azure\mgmt\resource\subscriptions\v2016_06_01\operations\subscriptions_operations.py", line 205, in internal_paging
    request, header_parameters, **operation_config)
  File "C:\Program Files (x86)\Microsoft SDKs\Azure\CLI2\lib\site-packages\msrest\service_client.py", line 290, in send
    raise_with_traceback(ClientRequestError, msg, err)
  File "C:\Program Files (x86)\Microsoft SDKs\Azure\CLI2\lib\site-packages\msrest\exceptions.py", line 45, in raise_with_traceback
    raise error.with_traceback(exc_traceback)
  File "C:\Program Files (x86)\Microsoft SDKs\Azure\CLI2\lib\site-packages\msrest\service_client.py", line 257, in send
    **kwargs)
  File "C:\Program Files (x86)\Microsoft SDKs\Azure\CLI2\lib\site-packages\requests\sessions.py", line 508, in request
    resp = self.send(prep, **send_kwargs)
  File "C:\Program Files (x86)\Microsoft SDKs\Azure\CLI2\lib\site-packages\requests\sessions.py", line 618, in send
    r = adapter.send(request, **kwargs)
  File "C:\Program Files (x86)\Microsoft SDKs\Azure\CLI2\lib\site-packages\requests\adapters.py", line 508, in send
    raise ConnectionError(e, request=request)
msrest.exceptions.ClientRequestError: Error occurred in request., ConnectionError: HTTPSConnectionPool(host='management.azure.com', port=443): Max retries exceeded with url: /subscriptions?api-version=2016-06-01 (Caused by ProtocolEr
ror('Connection aborted.', RemoteDisconnected('Remote end closed connection without response',)))

I get the same error when using a certificate.

If I use an invalid password I get the following output after less than a second:

az : ERROR: Get Token request returned http error: 401 and server response: {"error":"invalid_client","error_description":"AADSTS7000215: Invalid client secret is provided.\r\nTrace ID: df23599b-ae02-4680-ac45-f95cda5a0100\r\nCorrela
tion ID: MASKED\r\nTimestamp: 2019-05-14 20:11:40Z","error_codes":[7000215],"timestamp":"2019-05-14 20:11:40Z","trace_id":"df23599b-ae02-4680-ac45-f95cda5a0100","correlation_id":"6b33dff9-7830-4502-aba6-
9f18df6d444c"}
At line:1 char:1
+ az login --service-principal --username "5eae7f47-321a-4a3c-8569-ed36 ...
+ ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
    + CategoryInfo          : NotSpecified: (ERROR: Get Toke...-9f18df6d444c"}:String) [], RemoteException
    + FullyQualifiedErrorId : NativeCommandError

I can't see any problems on Azure Active Directory in the Azure portal.

Any ideas how I can troubleshoot this?