The Azure Kinect is the successor of Kinect v1 and Kinect v2. In this paper we perform brief data analysis and comparison of all Kinect versions with focus on precision (repeatability) and various aspects of noise of these three sensors. Then we thoroughly evaluate the new Azure Kinect; namely its warm-up time, precision (and sources of its variability), accuracy (thoroughly, using a robotic arm), reflectivity (using 18 different materials), and the multipath and flying pixel phenomenon. Furthermore, we validate its performance in both indoor and outdoor environments, including direct and indirect sun conditions. We conclude with a discussion on its improvements in the context of the evolution of the Kinect sensor. It was shown that it is crucial to choose well designed experiments to measure accuracy, since the RGB and depth camera are not aligned. Our measurements confirm the officially stated values, namely standard deviation ≤17 mm, and distance error <11 mm in up to 3.5 m distance from the sensor in all four supported modes. The device, however, has to be warmed up for at least 40–50 min to give stable results. Due to the time-of-flight technology, the Azure Kinect cannot be reliably used in direct sunlight. Therefore, it is convenient mostly for indoor applications.