You most likely have an old version of WinSCP, which does not support SHA2:
Issue 1952 – Support rsa-sha2-256 and rsa-sha2-512 SSH public key algorithms
Make sure you upgrade to the latest version.

Hi, I am absolutely beating my head against the wall on this one.

I can connect to a SFTP server (Linux) at my workplace from a Windows Server 2012 machine via PSFTP, sftp.exe and another staff showed a connection via scp from a command line.

But despite using the same private key, converted from Openssh via PuTTYgen, I cannot connect with WinSCP. It keeps saying server refused the key and then asks for a password. But I did not configure a passphrase for the key and the user account is not using password. Not really sure what I am doing wrong or where to begin troubleshooting.

If anyone has any thoughts, it would be greatly appreciated.