Because Agile is a set of values and principles, there is not a set "Agile" way to approach strategy. If you're looking for a pure step-by-step, SAFe talks a lot about strategy or, if you don't want the whole framework, this article has some good stuff around using lean canvas for portfolio management.
Of course, those are just other people trying to address strategy in a way that fits with the Agile values and principles. We can also just look at the Agile Manifesto and let that guide us. For example, let's look at the values:
Individuals and Interactions over Processes and Tools
Too often, strategy discussions focus on a few people making decisions with charts and matrixes in a vacuum. This is appealing because it's fast, efficient, definitive, and it isn't hindered by the complexity of different users wanting different things. It's easy to decide what the right path is, "prove" it on paper, then tell the rest of the company. Somewhere, on paper, Microsoft's Zune was a sure thing.
We don't want to try to guess how users will behave. Agile approaches to strategy rather look at how the real users behave and adjust the strategy to match that. Eric Reis' Lean Startup shows one way that organizations can guide their strategy based on how its customers and stakeholders actually behave rather than on a set of tools and processes.
Working Software (Product) over Comprehensive Documentation
Some companies spend incredible amounts of time designing their enterprise architecture. The problem is, you can't test design. Big up-front strategy efforts are based on a lot of untested assumptions. It's important to find ways to put pressure on your strategy as quickly as possible in order to identify where the weak points are and correct them.
Customer Collaboration over Contract Negotiation
This may seem strange, but it makes perfect sense when you get to the underlying goal. When you write software, the customer's understanding of their needs evolves. The same thing happens with strategy. Your market will evolve as you show them what is possible. If you have a good strategy, you will actually turn your market into a moving target, which is good because you are driving the movement and your competitors are trying to follow. Make sure your strategy process is built to be able to move right along with it. There's a great book called Blue Ocean Strategy that talks a lot about this concept. It doesn't frame the idea around Agile, but if you read it from that mindset you'll find a lot of parallels.
Responding to Change over Following a Plan
This one doesn't need much explanation. Planning is critical, but most plans are worthless. It's no different with strategy than it is with anything else.
You could, of course, go through the principles in the same way. The goal of the Agile manifesto is to refocus on what's important and those things apply just as well at the strategy level.
I hope this helps. I wish there was an easy 1-2-3 answer. It would make my job a lot easier. There is good stuff out there though and a lot of information to dive into.