Connect to your WatchGuard and open the WatchGuard Policy Manager. Then choose the menu:

Setup -> Authentication -> Authentication Servers as shown in the graphic.

Select the Active Directory tab and click the Add button:

A new window will appear asking for the details of your Active Directory server. Fill in the requested information. For this example, we'll use a domain called 'mydomain.local' located at IP 10.0.1.2. Replace any reference to this name and IP with your own details. Make sure that the Group String and Login Attribute match what corresponds to your server; these are the most common values.

Click OK until both authentication windows close, and save the configuration on your WatchGuard. Now you can use authentication for all services supported with AD. To test that it works properly, you can log in via WebUI as the admin user, select the option: Authentication -> Servers. A window will appear where, at the bottom of the page, it says

Test LDAP and Active Directory Connection. Click on that link and fill in the requested information using an account from your AD. Click on test connection, and if everything is correct, it will show the groups to which the user you used for testing belongs. Otherwise, it will show an error indicating the reason.