How to block VPN apps?

Create an Application Filter policy with below details :

1. Block 'Proxy and Tunnel' category.

2. Block Category - Category = ALL except Proxy and Tunnel, Characteristics = Can bypass firewall policy.

3. Block 'DNS Multiple QNAME'.

Web Filter - Block Anonymizers, Peere-to-Peer on HTTP, HTTPS.

Create a Test rule on top for one machine and apply this. Keep on top of even DNS rule. 

If it doesn't work, go to console and increase max packets to 100.

set ips maxpkts 100

Let us know if it works.

Thanks for your advice.
I did it but it won't help. It can block other VPN apps like FastVPN, UltraVPN but can't block X-VPN.
I see that X-VPN use 7 protocols. After adjusting the policy following your instruction, XG just block 2 of those 7. And then X-VPN connected with the 3rd protocol. 

Hey, so this method will basically look for anything sent in the headers. If there is anything in the headers to suggest it is a vpn it will be blocked. This method is essentially a man in the middle attack and will break most https sites if they have certificate pinning.

If it helps, x-Vpn is partly written in go and some of the files it “steals” it’s code from are from GitHub.

This is a client and they are using they are using x-vpn to get past all of the other rules. What they don't know is that we are aware of what they are doing... :D

Are you aware of what other apps will have issues?  As this is a corporate client I have to be careful what I am blocking!

They have VPN connections set up to access the server from 4 different locations and run a couple of different programs on it.

Thanks kindly!

In my case, facebook can't load the image, whatsapp on mobile can't connect.

Sophos XG (SFOS 17.1.3 MR-3) is NOT blocking a number of VPN apps including X-VPN and Psiphon so our students are able to bypass all firewall rules and web filters. Enabling "Decrypt & Scan HTTPS" does not make any difference either. 

I came across this post recently and unpleasantly surprised that 5 months later Sophos has not developed updated application filters rendering the Sophos XG firewall useless in a school environment. I have raised a support ticket with Sophos and will post feedback once I hear back from them. I manage a number of Sophos firewalls for schools and think it's time to consider other options. Fortigate is looking increasingly good!!!

Thank you envercpt for your information. School environment is also exactly what i'm experiencing. Students always try to bypass the firewall. 

I was creating a ticket support. The Sophos guy instructed me to do many many things and it looked block the X-VPN. But it also made difficult using other apps like whatsapp, facebook. 
Anw, i'm looking forward from hearing the result from you. 

In a corporate environment errant employees can be fired. Difficult to fire students ;-)

Sophos Support response to the ticket I raised: "The matter currently is being investigated by our development team with the ID NC-33664."

Glad to hear that. Thank envercpt. Hope they can figure it out. 

Update: Been troubleshooting with Sophos support who say there are new IPS definitions but in order to block X-VPN and PSIPHON I have to enable Decrypt & Scan HTTPS. The problem with this "solution" is that we are a BYOD environment and installing the Sophos certificate on +2000 personal devices will be an administrative nightmare. In the interim, we have informed our students that we are aware of these attempts to circumvent the firewall rules and that spot checks will be done resulting in severe punitive measures.

Update: Been troubleshooting with Sophos support who say there are new IPS definitions but in order to block X-VPN and PSIPHON I have to enable Decrypt & Scan HTTPS. The problem with this "solution" is that we are a BYOD environment and installing the Sophos certificate on +2000 personal devices will be an administrative nightmare. In the interim, we have informed our students that we are aware of these attempts to circumvent the firewall rules and that spot checks will be done resulting in severe punitive measures.