You might receive from your peer private key in PPK format, which seems it does not work in OpenSSH (command-line
ssh). The client will be asking for the passphrase, because of OpenSSH bug.
$ ssh -i mykey.ppk example.com Enter passphrase for mykey.ppk:
You need to convert the key to OpenSSH format using PuTTYgen (command-line version):
puttygen mykey.ppk -o mykey.key -O private-openssh
Or in GUI version: