Direct Traffic of EC2 Instances to Sophos XG Firewall

Did you change the route on AWS? You cannot simply use the Default gateway on EC2. 

Thanks for responding. No, I did not. Can you please tell what changes I should make? I am particularly new to this. Thanks a lot!

Welcome to the world of public cloud.

You need to understand, aws/Azure etc. uses a SD-Network approach. They do not do it like classic networks. For example: There is no default gateway like in a classic network. Instead the client is connected to the backbone of AWS (VPC) and the VPC will route the traffic.

See: https://docs.aws.amazon.com/vpc/latest/userguide/route-table-options.html#route-tables-nat

You have to create a route and tell VPC to route this to the XG instead of Internet. 

Welcome to the world of public cloud.

You need to understand, aws/Azure etc. uses a SD-Network approach. They do not do it like classic networks. For example: There is no default gateway like in a classic network. Instead the client is connected to the backbone of AWS (VPC) and the VPC will route the traffic.

See: https://docs.aws.amazon.com/vpc/latest/userguide/route-table-options.html#route-tables-nat

You have to create a route and tell VPC to route this to the XG instead of Internet.