Use the appropriate preposition in the sentence:
We sat ______ the shade of the tree.

Let us explore the given options:
The preposition 'under' means below (something covering or protecting).
The preposition 'below' means at a lower level or layer than.
The preposition 'in' is used to indicate a location or place.
The preposition 'through' means moving in one side and out of the other side of (an opening, channel, or location).
Hence, the correct answer is 'in'.
Complete Sentence: We sat in the shade of the tree.