Before Next.js 13
You can wrap the Material UI link with the Next.js one. This will provide the benefits of using both.
import NextLink from 'next/link'
import { Link as MUILink } from '@mui/material';
// ...
<NextLink href="/" passHref>
<MUILink variant="body2">Your Link</MUILink>
</NextLink>
From Next.js 13
See Shikyo’s answer for a solution that works with the reworked next/link component in Next.js 13.