Let say you want to execute this command using Salesforce CLI:
sfdx auth:web:login -a myusername@myorg.sandbox --instanceurl=https://mysandbox-domain.lightning.force.com
This error is shown
ERROR running auth:web:login: Invalid client credentials. Verify the OAuth client secret and ID. Error authenticating with auth code due to: grant type not supported
Error authenticating with auth code due to: grant type not supported. This is most likely not an error with the Salesforce CLI. Please ensure all information is accurate and try again.
The issue is you are using lightning.force.com domain instead of my.salesforce.com
sfdx auth:web:login -a myusername@myorg.sandbox --instanceurl=https://mysandbox-domain.my.salesforce.com