The guys at TFL.com have taken the GLA250 out into some off-road territory in order to test out how it does outside of the perfectly paved streets that it usually is found on. According to this review, the GLA250 does pretty good off-road.
The biggest issue seems to be the tires, which are not really made for off-roading. The GLA250 also has Hill Descent Control and Off-Road Mode. The Off-Road Mode switches power so that the rear and front wheels each get 50%.
The GLA250 takes on off-roading with technology instead of old school things like approach angle and off-road tires.