Before you can connect Alexa with Xiaomi smart devices, you need to follow these steps:
1. Download "Mi Home" app from Google Play or App Store.
2. Sign up or sign in with your Xiaomi account.
3. Setup the device with your "Mi Home" app, and make sure you can control it in the app.
4. Open Alexa app, search "Mi Home" skill and enable it by signing in with the same ID you used in "Mi Home" app.
5. After the setup is finished, you can control the device with Alexa.

Devices compatible with Alexa: Mi LED Smart Bulb, Mi Air Purifier, Mi Home Security Camera, Mi Smart Plug