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:

• Open PuttyGen
• Click Load
• Load your private key
• Go to Conversions->Export OpenSSH and export your private key
• Copy your private key to ~/.ssh/id_rsa

Source: SO answer, Unix SE answer