We sit ___ the shade of the mango tree.

The most appropriate preposition here is under. When referring to being directly beneath something that provides cover or shade, "under" is commonly used, as in "under the shade of the tree."

• While one might sit "in the shade," the phrase "under the shade of the mango tree" specifically emphasizes the tree as the source of the overhead cover.
• From indicates origin or separation.
• Of indicates possession or relationship.
• In could work for "in the shade," but "under the shade of the tree" is a more precise and common construction when linking the position to the object providing the shade.