Entra Governance logs are part of the Entra ID audit log datamart, and that can be integrated with Sentinel as detailed here: https://learn.microsoft.com/en-us/azure/sentinel/connect-azure-active-directory
In general, you can configure the export process via Diagnostic settings as detailed for example here: https://learn.microsoft.com/en-us/entra/id-governance/entitlement-management-logs-and-reporting
But in the case of Sentinel, you have an easier approach, as per the first article.