Here's an issue I ran into and having difficulty searching a specific answer: say you turned on Single Sign On (SSO) for your org, then you go to App Exchange and download a few apps. After doing the login for those apps, a pop up window open asking for your Salesforce username and password (basically OAuth, 3rd party authorization), BUT we're now on the new <mydomain at salesforce.com> not the old salesforce login URL. I wasn't thinking and just tried to login using username and password, so it got rejected. IT people pointed out that it should use SSO.
What was the work around?
Also, shouldn't the 3rd party app go thru your current website and trigger the SSO?
I know some people might say just reset your password and see if that works, but we already thought about that and want to avoid that. We want to establish credentials thru SSO or maybe(?) go thru an API endpoint.
Jonathan Fox (Cooper Parry) 
Forum Ambassador
When you click login and choose Salesforce, you can change the URL from login.Salesforce.com to your orgs ‘my domain’ company.my.Salesforce.com and make sure you keep everything after the .com still /?startURL=……
That should trigger the SSO for you.
