If you’re a Linux or macOS user, you need to convert your OpenSSH private key file to PEM format if you’re using an sFTP client like FileZilla or CyberDuck.
openssl rsa -in ~/.ssh/id_rsa -outform pem > id_rsa.pem
If you also store it in ~/.ssh/ you might not be able to select, so you either have to make hidden folders starting with a . visible or copy it to a non-hidden folder. But be careful, it’s a private key!
This is how the configuration in FileZilla looks like:
More information on sFTP using SSH2: Key based authentication.