By looking at this:

I figured out that the key pair were generated with a passphrase (Encryption: aes256-cbc). After all, I guess, my network guy did indeed generated it with a passphrase. I went ahead and generated a new key pair using WinSCP and explicitly indicated no passphrase and it worked.

Thanks for the help.

I think I figured out what you meant. This is what I see internally:

[quote="martin"]Can you login with any other SSH/SFTP client using that key without being prompted for a passphrase? How does your key look like? Can you post its contents structure (without the actual key data of course)? Did you try the latest version of WinSCP?[/quote]

Thanks for taking the time to help me out. No, I haven't tried other SSH/SFTP client.
I'm not sure how to post the content structure of the key. What I can tell you is that the key pair was not generated by WinSCP. Our networking group generated the key pair in another computer than the one I'm using. I'm not sure if that makes a difference.
No, I haven't tried the latest version.

Can you login with any other SSH/SFTP client using that key without being prompted for a passphrase? How does your key look like? Can you post its contents structure (without the actual key data of course)? Did you try the latest version of WinSCP?

WinSCP Version 5.15.3 (Build 9730) (OS 6.3.9600 - Windows Server 2012 R2 Standard), SFTP protocol, GUI Commander
1. Edited site 'çoncurSSH'
2. Loaded private key file on "Advanced > SSH > Authentication"
3. Saved changes to site
4. Logged in to st.concursolutions.com via site 'concurSSH'
5. "Key passphrase - concurSSH" dialog said
Authenticating...
Using username "p0055060tvxc"
Authenticating with public key "rsa-key-20200731-elsjobst"
6. Asked for "Passphrase for key 'rsa-key-20200731-elsjobst'
7. Since the key was created without a passphrase, I press OK with no value
8. Returned "Wrong passphrase" and kept asking for it
9. Please see attached log